Is there a way to animate a grenade? (so it rotates in the air.)
That way my axe won't float towards a guy but spin head over shaft.

The best answer you're gonna find is "maybe."

The only possible way to do it would be to create an .fx with the grenade geometry in the effect. It could spin somewhat at least.

Edit: one last question before I plunge headlong into the animation process.
would It be possible to animate it the same way as the simple animated door tut. and mess with the trigger so it would run all time (like the DS trash compactor) It would be a sec. weap so it spinning all time won't affect anything until I throw it.

You're way off. It won't be an animation at all, it will be an effect. Basically the grenade trail. It'll give it the illusion of spinning.