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Wrong drill bit type, size, or possibly just blunt?
Mark a center punch hole first (I use a Draper 13612 - it's spring tension adjustable, and doesn't need a hammer freeing up a second hand), then drill a pilot hole that is slightly smaller the screw diameter without the threads (for a "screw in device") or smallish compared to the final bit for push in ones.
Drill out the pilot to the final size for push in devices with a slightly small bit - you can "wiggle it" a bit to get the right size, but you can't add material back and concrete bits generally drill a little larger than you expect!
For concrete, carbide tips are a good choice, but make sure they are sharp - they can chip quite easily if you aren't careful with them, and a blunt drill will do more damage than you might think!
"I have no idea what I did, but I'm taking full credit for it." - ThisOldTony
"Common sense is so rare these days, it should be classified as a super power" - Random T-shirt
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OriginalGriff wrote: then drill a pilot hole that is slightly smaller the screw diameter without the threads
If I am not sure about the quality of the wall (or if I do am sure it is crap), then I drill first a hole with two sizes less than my target diameter.
M.D.V. 
If something has a solution... Why do we have to worry about?. If it has no solution... For what reason do we have to worry about?
Help me to understand what I'm saying, and I'll explain it better to you
Rating helpful answers is nice, but saying thanks can be even nicer.
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If you do DIY right it's rewarding, if you get screwed up by tools and products you use it's annoying. End of the story.
"Pro tip" from my side, never use anything provided with the product and instead have dowels and screws in your toolbox that are good quality.
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This is possibly the least understood rule of DIY - you must have a comprehensive supply of fixings, screws, dowels, bolts, you name it before you start.
Another tip - when boring holes in glass or ceramic tiles, using the hammer facility on your drill is counterproductive 
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And put a piece of tape across where you want to drill - the bit won't skate off into the distance then. 
"I have no idea what I did, but I'm taking full credit for it." - ThisOldTony
"Common sense is so rare these days, it should be classified as a super power" - Random T-shirt
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At least, not so much.
I usually put a cross of tape, like the cartoon sticking plaster, to get enough depth for the bit to grip and not skate, and use the drill really really slowly, just grinding the surface until there's a depression. Then you can up the speed. A little oily lubricant helps, one you've started. Turpentine is recommended for glass.
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And a sharp carbide bit as well. Water works as well as oil (maybe better) as it's the temperature you want to keep down (as well as flushing the particles out as you go) rather than lubricating.
It's also a damn good idea to use a depth limiter (even a finger is good) to prevent the drill slamming into the tile when you break through. I learned that one the first time I tried to put up a TP holder and cracked the tile. 
"I have no idea what I did, but I'm taking full credit for it." - ThisOldTony
"Common sense is so rare these days, it should be classified as a super power" - Random T-shirt
AntiTwitter: @DalekDave is now a follower!
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Carbide tips are great. Saved my bacon many times. Good point about the dept limiting, too.
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And while we are at drilling anyway, always check that where you drill there is nothing behind your planned hole. Wouldn't be the first time that someone either tears the power cables apart or even worse, flushes his room with the water from the pipes 
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A cable and pipe finder is a useful tool to have in your armoury.
For cables, in the UK at least, they're supposed to run either vertically or horizontally in the wall, so you can draw a line from sockets, switches etc, and work out if a cable is likely to be there, but I've seen some horrible bodges where cables have been run in channels cut into the plaster and plastered over diagonally across walls!
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Germany the same, you have a socket, cable runs vert or hori, but some brilliant folks doing this the first will always do it wrong. I even found these old cable loops where someone didn't want to use proper cable extension material and just removed the isolation, looped it around a nail or screw and then hung the other cable in the exact same way on the nail or screw... 
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Years ago, I needed to drill a simple hole in a wall in the garage for a bicycle mounting hook.
Easy as pie, right? 
I got the old (sound-based) stud finder out and check for a stud.
In the exact place where I needed to place the hook the stud finder got wonky.
It went red and sounded for the stud, but it seemed a bit wide and it was a bit weaker signal right in that area.
I checked it for 20 minutes and convinced myself that the stud finder was just a bit off and it was all going to be all right.
I drilled. Put the hook in.
Didn't seem quite right but hook was staying and it definitly wasn't just in the drywall.
I must've hit the stud, right?
So away I went and then later that evening I noticed that there was some water coming out of the place where the hook was in the wall. 
Good news, I hadn't hit an incoming pipe.
Bad news, I had hit the drain pipe from upstairs and each time you flushed water would spray out. 
Yes, I'm an idiot. But it's a lesson learned.
I still have that old stud finder, but I know that when it doesn't make its sound exactly right that I need to be aware.
Lesson learned. But painful lesson.
Oh, by the way, when they came to fix the pipe and they cut into the drywall...
I had hit the dead-on center of the pipe with the hook hole. OY!
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I mean, if you had tried to hit the center you would never have gotten it.
But yep, that's exactly the reason why i bought mine, so i can find metal, wood, and electricity. Never failed me so far.
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good drill tip!
"A little time, a little trouble, your better day"
Badfinger
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absolute truth, but there is a dark side to your suggestion: drawers and drawers and shelves full of boxes, organizers, etc of "things you might need in the future." I'm trying to cull my garage and storage at the moment - looking at years worth of nails and screws and stuff I have no idea where it's at. Worse, my son - well meaning - cleaned and reorganized the garage for me. I'm doomed.
I live 4 miles from Home Depot and 4.5 miles from Lowes. These days for special projects like the OP, I buy as much as I think I'll need, double it, then return what I did not use within the week. Now I just need to have a discussion with y daughter and all of here planting supplies.
Charlie Gilley
“They who can give up essential liberty to obtain a little temporary safety deserve neither liberty nor safety.” BF, 1759
Has never been more appropriate.
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Oh yeah, the room of boxes... Don'T remind me about that, mine needs cleaning and reorganization as well...
Rules for the FOSW ![ ^]
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1. For every project, you get to buy a new tool.
2. I had to buy more tools to build shelves for all my tools.
3. Every project requires at least 3 trips to the supply store.
>64
It’s weird being the same age as old people. Live every day like it is your last; one day, it will be.
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Frustrating, eh?
For anchor bolts I put a collar of masking tape around the bolt before sliding it in the pre-drilled hole. This provides enough friction to allow the expansion to happen so the bolt can grab and you can then tighten fully.
cheers
Chris Maunder
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Send me your address and the location of the safe in your house and I'll verify your work 
Hogan
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It's not what you think.[^]
Honest. It's just your dirty mind. "Would you like to see other shapes?" had me seriously laughing. 
"I have no idea what I did, but I'm taking full credit for it." - ThisOldTony
"Common sense is so rare these days, it should be classified as a super power" - Random T-shirt
AntiTwitter: @DalekDave is now a follower!
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Is this what is meant by plugging your product?
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Quote: Honest. It's just your dirty mind
?? I am confused. What did you think it was that would be so dirty?
Within you lies the power for good - Use it!
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I am lost for words.
I got there late
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I hate to think what they'd have said had it been carrying Roger's Profanisaurus[^] instead. 
"These people looked deep within my soul and assigned me a number based on the order in which I joined."
- Homer
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