These are explosive weapons. They are thrown and will explode several seconds after thier impact on the ground. By holding down the attack button, you can power up the grenade, making it go farther. When powered up, it flies over Zombies, Fake Walls and Barrels, but seems to bounce right off of Devils, exploding afterward.
As with all Explosives, the explosion may hurt the player (And, in 2Play, the other player.).