Depends on the game.
In Operation Flashpoint frag grenades are extremely powerful, explode on contact and have a large blast radius, however they're a bit awkward to use, have a throw distance of about 50 metres at the most and due to the crushing cruelness of the game you'll probably get shot up by some random grunt from half a kilometre away if you charge at someone throwing grenades like a lunatic. Overall they're great for taking care of entrenched enemies behind cover and suppressing enemies you can't really see.
In Halo multiplayer they're just absurd, though they do fit in perfectly with it's uh...style of gameplay.
The first two CoD's did grenades ok. You had a few of 'em and they weren't cookable but couldn't be thrown back, making them ideal for camper removal. They also weren't all that powerful, making spam not that big an issue. The later one's kinda screwed it up a bit, not so much with lethal grenades themselves but with the 'tactical' ones, the flashbangs and what not which explode very quickly with a very large blast radius, basically guaranteeing your death to any enemy nearby. And everyone gets two of them.
Battlefield 3 does grenades perfectly. You only get one but you can always grab another from an ammo box, though it takes a while. They have a standard fuse and can't be cooked off, making them easily avoided, but their damage and blast radius ensures that anything nearby will be killed or severely screwed by them if they don't get the hell out and into your line of fire.
They're the ultimate anti-camper weapon.