I think it would be often in case to avoid one-hand-throw penalty. Drop weapon -> throw grenade -> pick up weapon. Sometimes it nedeed to drop a useless weapon; e.g. rocket launcher, since soldier has no rockets anymore or machinegun with no ammo, or just drop firearm and pick up plasma.
And now i see another feature. Maybe it would be useful. Grenade button will be useless if we can choose throwing stuff, weapons and medpack through the feature number one from the first post. It can be replaced with exchange button like this:
Also it would be great to implement hotkeys everywhere. For a little example, at the geoscape A, W, S, D acting like moving in FPS, it's quite silly. "W" fits well for "Workshop" tab at the base (can show workshop at the last base, before switching to the geoscape), "S" is for "Stores", "A" - "Aircraft", "R" - "Research" and so on.
On this screenshot i see a small typo http://www.xenonauts.com/wp-content/uploads/2012/03/groundcombat_landed.jpg Kutznetsov should be replaced by Kuznetsov. And, in this video author says "Sasha" http://www.youtube.com/watch?v=u4yp-yhhx44 Sasha is short name of Alexander, like Bob or Bobby is Robert and Mike is short for Michael
Swe-e-e-et.