You can add one of four things - the grenade, the medkit, the drone and the RPG. The grenade leveling up increases how much you can use it. The medkit helps heal your squad (and yourself), should you take too much damage. The drone flies in to attack and distract targets so you can catch your breath. The RPG delivers a big bang.
The best to use? The grenade and the RPG, especially when combined with exploding oil drums.