Shady sam somewhere outside the imperial city The thieves guild fences all carry a few lockpicks. Goblins usually carry a few lockpicks.
But you shouldn't even need a lot of lockpicks learn to listen for the sound the tumblers make when you can lock them in position.(I trained 20 levels security with the same lockpick) --- God created the Earth, the Dutch only made it better. http://img508.imageshack.us/img508/1921/1178573614308ra6.jpg
Shady Sam is a guy dressed in black who spends all his time leaning against the outer wall of Imperial City. If you go out the westside gate, by the stables, turn right (north) and walk along the wall. You'll find him soon enough. His prices are a bit high, but he carries the sorts of things you won't find in polite society shops.