Photon grenades are equivalent of fragmentation ("frag") grenades used by modern military. However, unlike frag grenades, photon grenade's main destructive potential lies in air blast, and not in spreading of fragments, thus making it effective against structures and not only living targets, which might be both advantage and disadvantage, depending on scenario. In TNG episode "Legacy", Geordi La Forge suggested transporting photon grenades down to the underground Turkana city, in order to incapacitate members of Alliance, who were holding two Starfleet officers hostage, which means that photon grenades probably have variable yield. Maximum yield analyzed here.
Smoke grenades are seen used in DS9 episode "The Siege". As seen above, grenades are metallic bowls with hole throught which they release smoke, which is capable of filling quite large area.
Stun grenades are capabl of stunning targets in way similar to phase pistol set on stun; however, these were only seen or heard about during 22nd century; there is no indication that 24th century Starfleet uses them, althought it would be reasonable to conclude that they do. Grenades had time-delay setting.
