The grenades are far from worthless. True, they don't bounce well, but if you throw them directly at something, they explode on contact ... this is a great way of quickly taking out things that are out of reach of the shotgun without exposing yourself for the time it would take to get the job done with another weapon. For example, when you first run into revenants... they're typically up somewhere you can't even get to, but your grenades can get to them. The grenades are also good for those really strong chaingun guys.

Also, the grenades are just plain fun. If you use em on relatively weak guys, you can make them go flying way up and bounce off the ceiling. And every now and then there's a cluster of guys together with enough space between you and them to lob a grenade into one of em and take out the whole bunch.

If you can't find a use for grenades, try to get a little more creative with your strategy! Or, not use them, but you'll be missing out.