My cornsnake has a weird tail tip that looks almost like it was closed in a lock-tite lid when she was young. It has an awkward angle at the very tip, so sheds simply don't come off. It's only the last 1/2 a centimeter or so.
I take a moistened paper towel in my hand, and gently applying pressure, I let her crawl through the papertowel all the way through the tip of the tail. It works for me, but I know she has this tail issue, so I immediately check after a shed to see if it all came off. It never does. I hope that with a few more sheds, it "fixes" itself, but I don't know if that will happen or not...