Dilators with a threaded distal portion may be used for penetrating and dilating stiff tissues and bones. The threaded portion of a dilator engages the tissue between the insertion site and the target site, and may be rotated for advancing through the target tissue in a more controlled fashion. The devices and methods described may be used in procedures, for example, where ligaments surrounding the epidural space need to be dilated in order to deliver one or more surgical instruments into the epidural space.