Lockpick (Oblivion)

A lockpick is a tool used for picking the locks of doors and chests. It involves a mini-game where the player must line up the notches of the lock to open it. Effectiveness at using a lockpick is governed by the character's Security level.

Locations
Lockpicks can be bought from the fences in the Thieves' Guild or from the merchant in the Dark Brotherhood. Players who are not part of either faction but still rely on the security skill will most easily obtain new lockpicks by raiding Goblin or Bandit mines. Lockpicks may also be purchased at any time via Shady Sam outside the Imperial City.

Also if you are a member of Thieves' Guild you can buy lockpicks from every Fencer.

Recommendations
It is highly recommended you obtain the Skeleton Key, an unbreakable lockpick (given to you after completing a not too difficult quest by the Shrine of Nocturnal). However, presumably as a matter of balance, you cannot obtain this quest until you reach level 10 (given that the Key increases your security skill by 40).