Ok. First, in the instance of a grenade, frag or High explosive, it would and could theoretically explode in a vacuum, however, it most definitely would not look like the movies or make any sound in space. Since it needs no outside sources of oxygen to explode, it would start of like a normal earthly explosive reaction. The effects of that reaction or the duration is under speculation here.
I theorize that it would explode, however not have remotely the same effect as on Earth because of the chemical reaction after the initial explosion, shock wave (ie: expanding hot gasses), would not be affected by Earth's gravity and atmosphere.
So in conclusion, a grenade explosion in space would look like a brief flash and an expanding ball of debris and maybe some sparks (heated metal debris). No fire ball, no sound, not even much smoke. The only poof if any you would see is the brief expansion of gasses given of by the initial reaction.
If Hydrogen, Oxygen, nuclear, or other fuels explode, like on a space ship, I still have no clue about how it would look, but Id love to find out. (minus destroying a spaceship of course:)