I don't remember, is it possible to pick up weapons or ammo from dead enemies or something?
I have memories of picking up explosives, but I don't remember from which game in the series.

You can pick up ammo/health from power-ups lying around. These are on at all times in BHD and need to be turned on in DF1. Not sure about the rest but I have some vague memories of them being a thing in DF4 as well.