Regular grenades, or fragmentation grenades, are useful in flushing out an enemy who is behind cover. Fragmentation grenades rarely kill enemies, but they will at least disorient them and knock them down so you can move in to finish them. Couple this with the Monomania skill to see where your enemies were thrown by the blast.

White phosphorous grenades (Drebin points required) have a smaller blast radius than fragmentation grenades, but an enemy lit on fire will take damage until they extinguish themselves by rolling around. The fire also stays for a little while, so you can use it to block off some alleyways as well.

Stun grenades blind and deafen everyone within range, so don't throw them carelessly. Use them to prepare for an assault onto an enemy position. Stay behind cover and don't point the camera at the blast, then move in quickly.

Smoke grenades block vision and are useful for preventing the enemy from seeing where you're going. Throw them between you and your enemies, then move around behind the smoke cloud. Smoke grenades also cause people caught within them to choke and sputter, so use that opportunity to shoot at them if you can see them through the smoke.

The Enemy Locator sends a short blip that highlights enemy soldiers in SOP. It's very useful, but without other grenades you may find yourself incapable of dealing with the enemy once they're spotted. However, if you're traveling with a group, one person using an Enemy Locator is extremely helpful.

Metal Gear Online Walkthrough
Metal Gear Solid 4 Walkthrough