In New York, legally learning to pick locks means taking a rigorous course and obtaining a license. If you're looking to break into stuff without changing careers, get a Dyno Kwick Pick.
The Kwick Pick's a lightweight, three-inch tool with a spring-loaded extendable pick and built-in tension wrench -- the pick shifts the tiny pins inside the lock, while the tension wrench holds already-shifted pins in place. This means nothing to us either, but we don't care because the device cracks padlocks, file cabinets, and briefcases, as well as many front and car doors -- then fits neatly back into your pocket before anyone realizes you've opened something that doesn't belong to you.
To use: insert the pick into the keyhole, jiggle, and turn over the handle as if it were the key you "misplaced". It sounds simple, but takes practice, either on your door, or the next time you're handcuffed to a radiator.
Once you've mastered the KP, there are still some drawbacks. First: it's useless against deadbolts. Worse, if you really are a thief, or even a guy with unpaid parking tickets, the Kwick Pick can be used against you in court as evidence of bad character and/or evil intent. But on the other hand, if the cops'll jail you for having one, it's gotta be worth owning.