Where can I buy or acquire lock picks?

From the Skyrim wiki:

Lockpicks are easily obtained, as almost all merchants carry at least 1 of them. Some of the easier ways are:

• The Thieves Guild fence Tonilia carries around 30 picks for sale.
• The Khajiit trader outside Whiterun also carries 30 or more picks for sale.
• Babette in the Dark Brotherhood usually sells between 15 and 20 picks.
• General goods traders such as Belethor often carry 5 to 10 picks.
• Nearly all merchants, even food vendors will generally carry at least 1 lockpick in the miscellaneous category.
• Checking chests, bags and other storage units.
• Killing or pickpocketing bandits or humanoid monsters.
• The Skeleton Key. This lockpick is unique in that it will never break; the shaking animation will still occurr if you put too much pressure while in the wrong position, but the pick itself doesn't break, meaning that you can try an infinite number of times.

With the "Lost Art of the Blacksmith" mod, you can build your own lockpicks at any forge!