Here's another very interesting post on lock-picking, like making a padlock shim out of soda can: How to make your own lock-picking tools from a windshield wiper. Of course, the skills that come with it, plus the ethics of when it's acceptable to use it, are just as important (if not more).
After you've picked that up, try a copy of Practical Lock Picking: A Physical Penetration Tester's Training Guide or The Complete Book of Locks and Locksmithing.