Oroku Saki preparing to throw a thermite grenade at the Ninja Turtles.
A thermite grenade is a detonative device using thermite, a pyrotechnic compound made from metal powder and metal oxide.
Infamously, Oroku Saki pulls one out at the end of the first TMNT comic book, intending to kill the Ninja Turtles along with himself, instead of honorably committing seppuku as Leonardo had offered him. Before Saki can kill the lot of them, Donatello throws his bō at him, knocking him off of the rooftop and ensuring that Saki alone was the victim of the grenade.
Cheng throws a device he claims is a thermite bomb as a distraction in #23 of the Image series, saying it's a trick he learned from Oroku Saki. However, it turns out to actually be fireworks.
In issue #95 of the IDW continuity, Harold Lilja uses a thermite grenade to destroy his computing equipment, preventing Metalhead from finding the coordinates of where Lilja sent the Ninja Turtles and friends via the Teleporter.