This answer to this question applies to your query. Many physical properties depend on the intermolecular forces experienced in the liquid or solid. These intermolecular forces are hydrogen bonding (strongest), dipole-dipole attractions (in polar molecules), and London dispersion forces (weakest of the forces when comparing molecules of the same size, but dependent on the number of electrons in the substance). Stronger intermolecular forces would make the substance less volatile.
As noted in the first response, methanol is more volatile than ethanol. Methanol and ethanol would both have both hydrogen bonding (a relatively strong type of dipole-dipole attraction) and London dispersion forces. Because ethanol has more electrons (because it is a bigger molecule, but not necessarily because it is a heavier molecule) it would have more London dispersion forces in comparison to methanol, so, with stronger intermolecular forces, it would be less volatile. So, this example follows the general guidelines--figure out the intermolecular forces present in the molecules you want to compare and the molecule with the weakest cumulative intermolecular forces will be the most volatile.
Intramolecular bonding (covalent bonds, when you're talking about molecules) does not affect physical properties.