Methods for direct (without the use of the Kramers–Kronig relations) measuring the dielectric response (dynamic conductivity and permittivity) spectra of dielectrics, conductors, and superconductors in the terahertz frequency range (0.03–1.5 THz) are described. The methods are realised by using BWO (backward-wave oscillator) spectrometers developed at the A.M. Prokhorov General Physics Institute, RAS. Dielectric measurements can be performed at temperatures from 2 to 1000 K in magnetic fields up to 8 T. The dielectric response spectra are investigated for a number of materials with properties determined by electron correlation effects: superconductors, one-dimensional conductors, heavy fermion systems, spin-ladder cuprates, and spin glasses.