I personally won't miss the grenade reaction fire- I find that having my soldier fire a grenade at an alien that stepped out from a doorway right in front of him is a very bad idea. I use my grenadier, when I have one, as a vanguard/scout type unit.
Personally, I research Lasers and then armor... I won't bother with researching armor anymore since it's useless (who knew?)
Stun rods are ok, but I usually ditch them in favor of Monomolecular blades and gas grenades once I have them.
A close-combat specialist with a laser pistol in one hand and a knife or stun rod in the other is actually pretty powerful and accurate at most ranges, so I focus on my close-combat stuff. I don't like to research the plasma pistol, though, due to it's puny range.
Basically, the research pattern I'll use in the future will be Lasers and then the non-lethal/alien study branch, followed by particle weapons, and then kerrblades/monomoleculars.