I have to say grenades because all of the other long range weapons can be used without as much effort into aiming and last time I checked, you can't hurt yourself using a pistol, dagger, or staff.

I agree.

The only advantage I think the grenades has is range. You can throw them farther than you can shoot, etc.. (although flaming skull has a bit O range too)

I'm not to fond of grenades, but I personally don't like the dagger. Like the saying goes: "Don't bring a knife to a gun fight"! I would have to say that bringing a cutlass would do you much better (Now THAT'S a knife!).