After I saw this guide a while ago, I got really interested in lock picking and ended up buy a kit. There a decent subreddit and it's a good resource to get started. I purchased the kit they recommend PXS-14, and it works great. I remember I picked my first lock in about 5 minutes and then spend another hour trying to do it again. It takes a while to feel right and become consistent.

Subreddit:

http://www.reddit.com/r/lockpicking

Plus there getting starting guide:

http://www.reddit.com/r/lockpicking/comments/bzq80/where_do_...

PXS-14 Kit:

http://www.lockpickshop.com/PXS-14.html