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.
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. Lockpicks can be found in containers but are quite rare. Around a 10% chance of finding it (when not in a cave/dungeon/camp)
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).