“How can I get lockpicks in Oblivion? I keep running into chests I can’t unlock because I keep losing lockpicks. Is there a way to buy lockpicks or a secret stash somewhere?”
One key to making use of lockpicks in Oblivion is to boost your security skill whenever possible. Increased security skill translates to your character unlocking more difficult locks. Sometimes you can find lockpicks for free when you are looting dead monsters, but for the most part you really need to build up a stockpile of picks by making a purchase here and there. There are two easy ways to track down lockpicks in Oblivion, with a cash transaction, of course.
One option is to track down the man in the robe and hood along the outside wall of the Imperial City near the stable. He sells lockpicks and can usually be found with a supply of about 30 lock picks.
Purchasing a better unlock spell is a great method for getting through most locks. Just make sure your unlock spell is at a level equivalent or higher than the lock you are trying to open. The Mage guilds will have someone with a better spell you can buy for lockpicking.
Once you are at level 10 or higher, the skeleton key quest is an ideal solution to your problem. This is a Shrine of Nocturne quest which results in having a skeleton key to open locks. The skeleton key also boosts your security level by 50 points.