Smoke, as always. Reduces grenade accuracy by half. Not as good as against direct fire weapons, but still your first line of defence.
Shock and awe. Blast them before they blast you. Mortars are ideal for this, but your own grenade launchers and hand grenades work as well.
Disposable scouts to find the bastards and take the first hit.
Scout-sniper tactics and retreating snipers into hard cover, if possible.
Armour, to soak up the inevitable hits.
But grenades and other explosives are IMO the most common cause of mission failure or squad wipe, and personally I limit thrown explosive range to disable their abuse both for myself and the enemy. Otherwise,
spread out and prioritise enemies with heavy weapons. Vanilla AI (as opposed to Brutal AI) usually grenades troop concentrations and isn't very consistent about doing it at all.
Incendiaries at least don't usually outright kill you, but panicking and being on fire is no fun. Though you can return the favour and make
their grenadiers drop their guns and run around like flaming chickens.