There are three types of grenades currently available in the game:
Frag Grenades, Cryo (Ice) Grenades, and Holy Grenades.
Frag Grenades are the most common and they simply cause an explosion, which kills most weak zombies (Swarm Zombies and Sprinters), while damaging stronger zombies. However, red colored enhanced zombies are immune to Frag grenades and will not be damaged by them.
Cryo Grenades, or Ice Grenades, will freeze zombies within its blast radius as well as cause minimal damage. Frozen zombies are colored blue to distinguish it from unfrozen zombies, and your weapons will deal more damage (damage possibly doubled) to the zombies. The best part about zombies being frozen is they will become unable to move or attack the player. However, green colored enhanced zombies are immune to Cryo grenades and will not be frozen by them.
Holy Grenades have a very large blast radius and very high damage, which can kill all zombies (Worms from Bloaters killed by the grenade will not be killed, Mamushkas will simply split) except for Devastators, which lose about one half to one quarter of their maximum health. When thrown, a distinct noise will play and the entire screen will turn white for a second or two. Since all players can see the white screen, spamming Holy Grenades can be an annoyance for other players.
Grenades can be found though drops on the maps (You can get 12 Frags, 6 Cryos or 1 Holy Grenade in a drop), bought with real money in the Premium Items section of the shop ($0.99 for 100 Frags, $1.99 for 50 Cryos, $3.99 for 30 Holy Grenades), or purchased with in-game money during the start of a match or between rounds ($10000 for 10 Frags, $20000 for 5 Cryos, $13333 for 1 Holy Grenade).