You want to make sure that there is mechanical filtration prior to the rock...or else it will get filled with crud (like an bio media).
Not as much surface area as pot scrubbies or bio balls...and the irregular shape means that flow through them won't necessarily be even (so water might not get distributed across all of the media).
I've used lava rocks as bio media before without problems. It's relatively cheap and works, especially in sumps and other large volume filters.
Matt