Our local hackerspace in Chicago hosts TOOOL meetings, which got me hooked a couple of months ago. I heartily recommend this book: http://www.amazon.com/Practical-Lock-Picking-Penetration-ebo...

I read the first half in a day, and was picking locks successfully the next day. Just remember the golden rules: (1) only pick locks you own, (2) don't pick locks you depend on (they're easy to break.)

If you look at TOOOL's site, they sell a nice beginner toolkit for $30. Love it.