I know Cod2 has a nasty smoke grenade. You can throw one of those bad boys and run right past a ton of enemies (that's how I beat that game on veteran).
I also remember one of the old Rainbow Six games having a great flash bang.

halo 1, 2, 3

Resistance fall of man has a nice backlash grenade that turns into a shield that repels enemy attacks.

Fully upgraded cluster grenades in Crackdown are really kick ass.

the spikey grenades in resistance kicked ass

Cluster Grenades in Crackdown

id have to say the grenades in gears are pretty satisfying

The banana bombs in the Worms series

Gotta go with the Holy Hand Gernade in Worms
.

What other gernade sings Halluhulajah and then just blows your ass up.

Halo's sticky nades are awesome.

Bad Company, just because of how they look.

Holy hand grenade - and resistances hedgehog grenades

Hedgehog grenades in resistance, with 1 hit kill=Ownage

TF2's nades are pretty unsatisfying. They feel like plastic objects because they travel so fast and they're really light.

I like Halo's grenades a lot, and COD4's are nice too. The plasma nades are awesome (but a lot of time useless), and the frag nades can flip cars and do lots of awesome stuff.

Resistance: Fall of Man had a few cool grenades:

• Hedgehog grenade - throw it out and spikes shoot outwards into enemies
• Air-fuel grenades - flammable gas is released into the air and then ignited, killing all enemies in the fire
• There was this one grenade (I can't remember what it was called) that created a huge bubble. If an enemy fired into it, their bullets would be repelled back at them. If an enemy stepped inside it, they would be damaged. So, you stand inside of it and you are essentially shielded and you cause damage to the enemies firing at you.