Generally I carry a lot of grenades, rockets, etc. Community edition fixes their accuracy problems, but even disregarding that they're useful to the point of arguably being my primary weapon.
Smoke Grenades: Everyone carries at least one, preferably more. An absolute must for being able to maneuver freely.
Flashbangs: Everyone carries at least one, preferably more. Generally, I take an approach of flashbanging every blind corner, every room, etc. They're basically mandatory for
Stun Grenades: Useful in a pinch, but not fantastic. I usually carry one or two for emergencies. My issue with them is that the gas lingers, which ties down your movement. If it's not a chokepoint, then you can usually light up the target with the HMG. If it is in a chokepoint, waiting for the gas to disperse can be a real problem. The main benefit, in my opinion, is akin to minefields i.e. covering your flanks.
Electroshock Grenades: At least two total, as soon as I can. Mechanical enemies are a real problem early game and can be annoying inside downed UFOs.
Frag Grenades: Always good to have at least a couple. They're good against everything, and can cause chain reactions with other explosives. It's nice to just be able to yeet a frag at something as a free hit. It won't usually kill it, but it'll give the breacher going in next a chance to actually finish the target off. (Side note: If you're running CE, frags missing really shouldn't be a problem).
Incendiary Grenades: I usually bring one, maybe two at most. Fire can be a problem on some maps, and its usefulness as a screening tool is limited. There are certain niches where these are very nice, but those niches are rare.
Rockets are... complicated. 60%/80% TU to fire is asking a lot, but it's hard to overstate just how much you're getting for that. I generally have my strongest guy running a specialist loadout- a basic rifle, maybe a single spare mag, maybe a grenade, and then the launcher plus rockets. Sometimes the heavy also carries rockets. With regards to the rockets themselves, you've got a few options:
Base Fragmentation Rockets are phenomenal early game against mechanized enemies. No, they don't drop loot, but loot doesn't matter if one is flanking your position and is about to start mowing down your guys. They can also soften up groups of enemies (which doesn't destroy loot) before letting you take them out normally. Also a point in favor of these- they are absolutely fantastic for when you need to make your own door in a hurry. Blow your way into the side of a building, destroy an enemy's cover, etc.
Incendiary rockets are almost always worth having at least one of. You do sometimes risk setting the entire map on fire, but they're damned effective at closing off flanks or providing crowd control.
Stun Rockets: Alright, this is where it's at. The radius on these things is huge, and you can apply that from a much further range. These are pretty much a mandatory part of my arsenal (and why I consider stun grenades to be so mediocre). Everything stun grenades do, these do better.
The trick with rocket launchers