Volunteer work on a resume always looks good but most employers are looking for work experience, especially in their field.
Volunteering in certain situations can be valuable work experience. Realities are that until you have paid, skilled, regular employment, only having volunteer experience isn't going to really set you ahead of other applicants.
Depends on the employer and the position he/she is trying to fill. A lot of employers offer on the job training.
Does anyone have any work experience before they are hired for their first job?
If your volunteer service is akin to the job or involves similar skills, it could put you at the top of the list. Everyone has to start somewhere, and volunteer work can show that you have at east some work ethic. As long as you are applying for an entry level position it can help, but it is not a guarantee.