I'm delicious, swoon with sweetness,
Baklava is a delicious, sweet pastry.
But beware my back, you'll burn and perish.
Its "back" part is molten hot lava.
Check my front, it's almost my back,
But with all the cooling waters removed.
Its "front" part is bak, which is almost back, but with C (Cold) removed. (Alternatively, "cooling waters" can be the sea, which is a homophone of C.)
Try me, taste me, I'm so sweet,
With variants found in many countries.
This sweet pastry is found across many Middle Eastern and Asian cuisines.
If I were wordplay in a crossword,
I'd be grandparental, financial, or a film.
Baklava sounds like "back lava", meaning "lava backwards", i.e., aval, which as Gahja found can be grandparental, financial, or a film.