Grenade

A thrown grenade does not stick where it hits. It bounces and rolls first, so on sloped or uneven ground it can settle several tiles from where you were aiming, and it goes off on its own after a short fuse if it never touches anything. Aiming at a spot slightly uphill of a crowd usually works better than aiming at the crowd.

It detonates on contact with an enemy, so anything that closes on you turns your own throw into a hit on yourself. Casters are the worst version of this: the grenade pops against one of their projectiles long before it reaches them, usually right in your face. Throw at range, or throw at things that cannot shoot back.

Splash is the point. Worm enemies take the blast across a chunk of their body at once, and a couple of throws clear a pack during a Blood Moon or a Goblin Army without you aiming at anything in particular. On higher difficulties the trade gets better rather than worse, since enemy hits scale up while the damage you do to yourself does not. The Eater of Worlds is the exception in Expert, where it resists explosives hard enough that you should bring something else.