You were given a supply of grenades fairly early on in GTA IV and even if thats not the case in V, you should still keep your eye out for when they become available. And then immediately stock up. A single grenade can turn the tide of even the bleakest looking battles in the blink of an eye, especially in a contained space. But be careful, for just because you threw it does not mean you're immune to its effects. They might set you back a chunk of cash, but theyre totally worth the expense. And what would you rather spend your GTA dollars on more than the ability to blow shit up?