Shield/pistol all the way. There's an exploit to save TUs that involves dropping the pistol, throwing a grenade, then picking up the pistol. Saves 9 TUs if I remember right, compared to throwing it with gun in hand.
The thing that people hate about shields and grenades is how underwhelming they seem to be. Shields sometimes let a plasma shot through, which always means plenty of pain for the guy behind it, while regular (non-alenium) grenades don't blow up cover well and don't guarantee a kill.