Their explosions will nearly always stagger them for a short time, interrupting their attack for a short time. Shoot any mines or red barrels near enemies. Hell Knights (the hulking jumping demons) tend to have a harder time against explosives like sticky grenades, micro missiles, and many others. Use secondary fire often, as they're usually much better than the primary fire for dealing with certain enemies. Arachnotrons (the big brains with spider legs) can have their turret blown off with a sticky grenade or a well-placed bolt from the heavy cannon, while Revenants rocket launchers can be destroyed. Some enemies have weaknesses that can be exploited to reduce their firepower. Getting rid of them first gives you some much needed breathing room to deal with the other big threats. For example, Cacodemons (the big eyeball things that float around) really hate swallowing grenades from Sticky Bombs. Know which alternative fire modes are best for dealing with certain enemies. Do this before either performing a glory kill to get both health and armour, or mincing them up with a slash of the chainsaw for ammo and armour. If you need to recover armour safely, use the flame thrower to roast a staggered foe.
Use them as often as you can to dart around the area, getting the jump on demons where you can. There are lots of ledges, pipes, and portals littered around most areas where enemies appear. If you get rid of the smaller foes too early, you may find there's no way to recover health when you're at death's door.
Focus on larger enemies when you have full ammunition and reserve humanoid enemies for recovering health, ammunition, and armour. Even if you're just shooting at an enemy from afar, you should at the very least be strafing from side to side so that the demons can't get a good lock onto you. If there is one thing you should do at all times, you should keep moving.