How to Get Lockpicks in Oblivion

Shady Sam

Find Shady Sam by the north wall of the imperial city. He sells 30 lockpicks and poisons.

Go to the imperial city stables, and then start heading north along the walls.

Keep an eye out for him right along the walls. He sells the lockpicks for about 6 gold a piece.

Thieves' Guild

There are a couple of people that sell lockpicks.

Armand Christophe sells them for 5 gold each.

Go to the fencers, as they have a couple or a dozen lockpicks.