The So-called "LSI Guide to Lock Picking" has been around for a few years, but it's a great primer for people who are interested in learning the art, science, and sport to picking locks.  It covers basic lock parts terminology, a quick guide on making some basic lock picking tools, and some tips for picking your very first lock.
A few things to note:
- Picking your own locks or locks you have permission to pick is not a crime. 
 - It's very much like solving an interesting puzzle by feel alone.
 - Certain locations (states, cities) have laws regarding transportation or carrying of lock picking tools, so it's best to keep them at home.