Grenades are highly destructive to both people and objects, including vehicles — in most GTA games, conventional vehicles can be destroyed with a single grenade, and people will almost always be killed if within the blast radius. Grenades are ideal for taking out enemies hiding behind cover, and for scattering tight-knit groups of foes.
Grenades can, of course, be just as dangerous to the player as to enemies, and must be deployed carefully to avoid the grenade bouncing back to the player.
In GTA IV Era
In Grand Theft Auto IV, the player can drop a live grenade to the ground, but must run for cover before it detonates. One can also 'cook' a grenade (hold onto it while it counts down) for a short time before throwing it. It begins beeping if it is held for too long, and if not thrown, will explode in the player's hands. In Grand Theft Auto IV, grenades are in fact much more lethal to the player than to enemies -- unless a grenade explodes very close to an enemy, they will likely survive, despite being thrown by the explosion.
In GTA IV, grenades can be dropped while driving, and are more effective for in-car use than Molotovs, due to their far superior radius of effect, however the player must take care to remain on the move while using grenades — the player's own car can easily be caught in the explosion if it does not move on immediately.
In GTA IV, a popular multiplayer tactic is to cook a grenade, then walk up to a group of unsuspecting players and let it detonate, This tactic (called Martyrdom) is useful for killing a large group, so long as you don't mind dying as well. This is only advised in Free Mode.
It can be purchased at Ammu-Nation, however it is unknown how much it would cost as of yet
In GTA III era (excluding GTA San Andreas), if you throw a grenade in the water, the grenade will not show an explosion or waves created by explosion's vibrations, but also the explosion's sound can be heard. But if you throw a grenade very up in the air, the grenade again will not show an explosion (only seen in GTA Vice City and Liberty City Stories)
Depsite it's time to explode, it is unrealistically because in real life, the grenade must have circa 10 - 15 seconds to explode, but in both GTA eras, the grenade will explode in circa 2 - 3 seconds.
In Gta San Andreas, if a grenade direct hits any victim, it will cause the target to fall to the ground, however, it's possible to kill a target with a direct hit of a grenade.