You can buy lockpicks in The Elder Scrolls IV: Oblivion primarily from the following sources:

• Shady Sam : He is the easiest and earliest source for lockpicks. You can find Shady Sam outside the Imperial City walls near the Chestnut Handy Stables. He sells lockpicks at 6 gold each and has a supply of 30 lockpicks that refreshes daily, allowing you to buy up to 30 lockpicks every day

• Thieves Guild Fences : After joining the Thieves Guild and completing the first mission "May the Best Thief Win," you gain access to fences who sell lockpicks. These fences have a larger stock (up to 100 lockpicks) and restock regularly. Some notable fences include Ongar the World-Weary in Bruma, Dar Jee in Leyawiin, Luciana Galena in Bravil, and Orrin in Anvil. Lockpicks here cost between 5-10 gold depending on your reputation and haggling skills

• Dark Brotherhood Merchants : If you join the Dark Brotherhood faction, some of their merchants also sell lockpicks, though their stock is smaller compared to the Thieves Guild fences

If you prefer not to join any faction, Shady Sam remains your best consistent source for lockpicks early and throughout the game. Additionally, lockpicks can be found as loot on bandits, in dungeons, and in barrels or chests during exploration, but buying from these merchants is the most reliable way to maintain a steady supply

. Tip: Completing the Nocturnal Daedric Shrine quest rewards you with the Skeleton Key, an unbreakable lockpick that greatly enhances your lockpicking ability, reducing the need to constantly buy lockpicks

. In summary, for buying lockpicks in Oblivion:

• Visit Shady Sam outside Imperial City for daily 30 lockpicks.
• Join the Thieves Guild for access to fences with large lockpick stocks.
• Optionally, join the Dark Brotherhood for additional lockpick sellers.

This ensures you have a steady supply for your lockpicking needs throughout the game.