I am a dilletante at lockpicking -- I have a couple of sets of picks, and when I am overburdened with spare time, like to hone my skills.
There's a great article by Liam Bowen on how to recover the combination of a Master padlock if you have lost it, with a link to the HowStuffWorks article on padlock internals. This is pretty neat stuff.
The Open Organization of Lockpickers is a good place to start if you are curious about pickng.
If you're interested in classic picking, you can shop for picks or snapguns online. I like picks better; they require a more delicate touch, but they work about as fast as a gun for me, and it's more rewarding to beat the lock by touch than by pulling a trigger. The guns can also damage the lock cylinder.