My favorite grenades ever were the EMP grenades in TFC with the Engy. Those grenades made the Engy an assault character because they could blow the bejeesus out of anything even through walls.
TFC had a lot of fantastic grenades. The nail grenade, while pretty useless, was fun to use because it definitely shut down a decent area for about 3 seconds because even though you wouldn't die from it the nails freaked you out.
The concussion grenades for the medic/scout were great weapons and great travel devices. I remember conc jumping across entire maps and air strafing all over the place to get to a specific spot. Specifically, conc jumping out of the front door in well all the way up to the sniper deck to take out a particularly annoying sniper.
The demo grenade was the most fun because the main explosion could kill someone then it spread secondary grenades all over the place which did significant damage. Took out SG nests, half of a team running out of spawn, Heavies all in one shot...