The Grenade is a supplementary weapon carried by Jason, Roddy, and Alex, used when the firepower of the standard Gun just isn't enough. The Grenade's effect is different from adventure to adventure, but it's always some sort of explosive effect. There is an infinite supply of Grenades, but they cannot be used unless the wielder is in Chambers.
Jason's grenades are very short range, nearly exploding at his feet, though the throw distance can be slightly increased by moving in the direction of the throw. The grenades have a small blast radius and inflicts major damage; most enemies are destroyed by one blast, the tougher ones may take two. They're generally more effective than the Gun against bosses (though a fully powered Gun offers the good advantage of long range, and is almost as strong). Grenades are a rapid fire weapon.
There's a well-known trick to using grenades against bosses. Against any boss in an odd-numbered Area (1, 3, etc), pausing while a grenade explodes doesn't stop the damage being dealt (or the sound effect), and this will quickly destroy the boss (the sound of the explosion changes very slightly when the boss has been dealt lethal damage).
Jason's grenades have changed fundamentally. Here, he can only throw one at a time; the explosion from the first grenade must completely disappear before he can throw the next. They're still powerful, but the reduced rate of fire also reduces their effectiveness.
Obtaining the Launcher causes the grenades to fly much farther.
Known as Napalms, they create three blue fiery geysers that erupt around Roddy when used. They're not so much grenades as a defensive measure.
Alex is equipped with a grenade launcher at the outset. The grenades don't launch very far, but deal substantial damage. Using the arc of the grenade is the only way to bypass some enemy defenses. It has five levels of power, and each level slightly increases the blast range.