Ya, "Flintlocks and Bombs" for making your own black powder is really useful, this will save you a lot of money compared to grenades (and I think they are more powerful too). And it's a pre-req for many a gun research (like all the ammo manufacturing).
Similarly, once you get dynamite, you can start to really have fun with thrown explosives, HE Packs are too expensive. Oh, and get an HMG instead of spending thousands on explosives. That gun kills stuff dead too (as you know from the FMP).
I would buy HE Packs and RPGs before Panzerfaust. If you look at the cost per damage, those weapons are not really worth it. An RPG with a few shots is better imho, and if you need something heavier, HE Packs are still cheaper (and easier to use in heavy terrain).
Of course, my experience comes from the 3rd difficulty, not the last one, but I don't think things change that much, except for the number of enemies getting to crazy levels (the reason why I play at my current difficulty).
