Oblivion - Where to buy lockpicks

Whether it's a chest, door, or display, at some point during your time playing Elder Scrolls IV: Oblivion, you will encounter a locked obstacle, in which case you will need a lockpick. Unlike future games in the series, in Oblivion, you can attempt to pick any level of lock from the get-go. With this being the case, having a large stash of picks on hand can really help you get some great loot early. In addition to finding them on bodies or lying around places, the best method to refill your stock is to simply buy them, but as lockpicks aren't exactly tools of the upstanding citizen, they won't be sold in your typical general store. In order to buy them, you will need to have begun the Thieves Guild faction questline, completing the first mission "May the Best Thief Win" to unlock access to the guild's fences. These are the individuals who you can also sell stolen loot to (as a note, the non-guild fences that will buy your stolen goods, such as the innkeeper Manheim at the Inn of Ill Omen, DO NOT sell lockpicks), with more becoming available as you progress through the guild. But, the first one sells just as many picks for the same price, so you don't have to dive to deep into the questline.

Depending on your reputation with the fence, the price of a lockpick will range from 5-10 gold a piece (depending on how much you haggle the price), so it will be worthwhile to raise their disposition toward you as much as you can. It's also important to note that each fence's stock of 100 picks will refill after a couple of days, if you REALLY need a lot of lockpicks.

Ongar the World-Weary

Location: Bruma (will either be in his house or Olav's Tap & Tack)

Dar Jee

Location: Leyawin (will be in his house, in the Five Claws Lounge, or around the Three Sisters' Inn)

Luciana Galena

Location: Bravil (will be in her house or in the Lonely Suitor Lodge Inn)

Orrin

Location: Anvil (will be in his Smithy in Anvil's Castle)

Bonus: Armand Christophe

Location: Imperial City (in the garden after midnight before completing the first mission for the Thieves Guild) 

This avenue of procuring lockpicks is only available to you before you complete the first mission and gain membership into the Thieves Guild. Armand Christophe will sell you lockpicks 5 gold a piece, one at a time. This avenue isn't advisable if you need a lot of lockpicks as it's slow, but it is an option if you want to avoid joining the guild.