i dont think there were any explosives (only incindiaries) until gunpowder. by the time that was used for weapons i wouldn't really consider it 'ancient'

maybe heating rocks until they explode 

There is one problem with these rocks - to make them explode when you want and where you want .
IIRC there is some weak evidence that arabs used ceramic molotov cocktails(Molotov was born much later, though) filled with crude oil and something which make it catch fire easier, some old paintings and engravings shows arab warriors with many heart-shaped flasks in bandolier and burning torch in hand...
But except pitch and maybe crude oil, nothing similar was used until gunpowder came in. If you don't count chinese using fresh bamboo thrown in fire to scare away nasty animals, that is.

EDIT: You were faster, badger! Darn it...

i'm thinking of grendades as something that explodes and fragments to kill/maim, not burn....

incindiaries are still awesome though 

They wouldn't, because you are cutting oxygen intake in the same time. Unless they are mixed with oxidizer, that is, but after that, it is just variation on gunpowder. Maybe methane grenades? Explosive farts... Oh my God .

Basically, they used it for fireworks - rockets, bangers and such. That these rockets were fired at enemies and bangers weighting 10+ kilograms placed under walls to collapse them is another matter .
IIRC, this illustration shows some type of rocket, or some arrow with a rocket attached, am I right?
What an irony - they were searching for an elixir of immortality and found an elixir of mortality .

THAT IS INTERESTING

It's interesting to a Sinologist, simia.
  Pigs are intelligent and tasty animals.  What a waste.  They'd be so overcooked.