The only thing i really want right now is Eridium so i can upgrade my backpack and ammo loadout. I am pretty happy with my current weapons, they are by far the most powerful ones i have access to right now. I went back to some lower level areas to backtrack some early missions i bypassed for no real reason and those lower level enemies are no match. I have just been melee attacking a lot of them for fun. Found a good high capacity shield that doesnt cost any health too, enjoying that. I will post up my current weapon loadout, i seem to favor Pistols and Sniper Rifles lately.
For grenades i just use a Corrosive and a fire turret type one mostly and a slag one now and then.