You can find lockpicks in Oblivion through several reliable methods:

• Buy from Shady Sam: The easiest early-game option is to purchase lockpicks from Shady Sam, a merchant located outside the Imperial City walls near the Chestnut Handy Stables. He sells up to 30 lockpicks at a time, and his inventory refreshes regularly, allowing you to restock repeatedly

• Join the Thieves Guild: By joining the Thieves Guild, you gain access to fences who sell large quantities of lockpicks (up to 100). The first fence you encounter is Ongar the World-Weary in Bruma. These vendors restock their lockpicks after a few days, making them an excellent source for bulk purchases

• Loot from enemies and dungeons: Lockpicks are commonly found as loot on bandits, goblins, and in chests within caves and dungeons. Exploring these areas often yields a good supply without needing to buy them

• Other vendors: Some general merchants, like the one in Bravil, may occasionally sell lockpicks, but this is less reliable than the above methods

• Quest reward: Completing the Nocturnal Daedric Shrine quest grants the Skeleton Key, an unbreakable lockpick that also boosts your Security skill, making lockpicking easier and conserving your lockpick supply

In summary, the best places to find or buy lockpicks are from Shady Sam outside the Imperial City, from Thieves Guild fences after joining the guild, and by looting bandits and dungeons throughout the game world