Nades used to be able to explode on contact and after the first bounce, but now it's only on contact, and the "clip" size has been reduced to four.
A lot of people underestimate how useful grenades are. The thing is with stickies is they do more damage, have a larger "clip" size, and can gib multiple enemies in quick procession since you can detonate at your leisure.
Honestly? The time to use stickies and grenades are completely situational. Let's take Dustbowl for example:
If you're on the very first CP and soldiers are coming at you from the left side, you can either use A. Stickies to either deny them that route and have to shoot at your from afar (fruitlessly) or take the lower route, which you can also sticky, or get annihilated if you're proficient at placing spontaneously.
BUT, you can also use Grenades to "herd" the enemies away from you. If they have a medic, it's going to take at least three stickies to take out the soldier being healed or to get the splash near the Medic. This setup time is hindering and by the time you have killed them they have probably already taken out a forward Sentry or auxiliary defender. Using grenades works immensely well against Medic teams, I can't tell you how many times I've herded the Medic into the corner of the their shack on that CP (or in numerous other places) and either A. Killed them or B. seperated the Medic from his buddies and making them both vulnerable to the rest of your team. You can also herd teams into strategically places stickies, using both weapons effectively. (The splash from your grenades will hurt the team running the opposite direction and your stickies will kill everyone else).
Grenades are very useful in enclosed areas--once you get decent at aiming them right at the enemy you can normally come out on top with an encounter with an Engineer, Soldier, another Demo, or even a Pyro... Especially Pyros who will run straight at you not suspecting to be shelled to death.
Although you're going to want to learn to use your stickies. Sometimes there are open areas where you have no other option. If a scout is harassing you, surround their dancing area with stickies as they try to pelt you, and detonate when you've made a rough estimate of where they are compared to your placement. I've killed many a lone scout in this fashion, same goes for Engies, lone Medics, snipers, spies who run out of cloak (my personal favorite) and yes, even Soldiers.
Heavies are a problem. A very big problem. They can eat three of your grenades and still mow you down. What do you do? Get away. If you catch him revving up his minigun, it's not too hard to land two or three grenades on him and then retreat behind a corner--lay some stickies down quick! If the Heavy doesn't get to you first it'll probably be a faster class tagging alongside with him and his Medic. They're just fodder.
I hope this helps a little. The main thing to realize if that in order to use the Demo to his fullest extent, you need to utilize both Grenade and Stickies when their respective situations call for it. It really matters on what will do the most damage to the enemy the fastest, or what has the best chance of keeping you alive.
I forgot to mention this: Be aware of where your stickies are. In the heat of battle on the front, a lot of times Demos will end up killing themselves after firing stickies in every direction and detonating without getting themselves out of range of the blast. It happens. All. The. Time.