Lockpicks can be bought from locksmiths and from somewhat more shady people. They make it easier to pick a lock open or closed: you only need to have them in your inventory, in your equipment, or on a worn keyring.

Lockpick upgrades

Lockpicks can be improved by various locksmiths and by some other skilled people. To find out what they want for their services, try asking them about lockpicks.