You can buy lockpicks in Oblivion, especially in the Imperial City area, from the following sources:

• Shady Sam : He is the easiest and most reliable vendor to buy lockpicks from early in the game. Shady Sam is located outside the Imperial City walls near the Chestnut Handy Stables, northwest of the city between the Talos Plaza District and Elven Gardens District gates. He sells lockpicks at about 6 gold each and stocks up to 30 lockpicks daily, with his inventory refreshing every 48 hours

• Thieves Guild Fences : After joining the Thieves Guild, you can buy lockpicks from fences such as Ongar the World-Weary in Bruma. Fences have a larger stock, often around 100 lockpicks, and sell them at similar prices. Joining the Thieves Guild unlocks access to these vendors

• General Merchants : Occasionally, some general merchants like the one in Bravil may have a few lockpicks for sale, but this is less reliable compared to Shady Sam or fences

Additional tips:

• Looting lockpicks from goblin caves, bandits, and dungeons is also common and a good way to stock up without spending gold

• Completing the Nocturnal Daedric Shrine quest rewards you with the Skeleton Key, an unbreakable lockpick that significantly boosts your lockpicking ability, reducing the need to buy lockpicks

In summary, for buying lockpicks in or near the Imperial City, your best bet is to visit Shady Sam outside the city walls near Chestnut Handy Stables or join the Thieves Guild to access fences who sell lockpicks in larger quantities