There is a place online that shows you how to make lock picks out of a hacksaw blade. I made a few once upon a time and they worked very well. Also, use an allen wrench with a grinded down flat as a tensioner.
FYI, if you look into a lock and see that it uses flat pieces (I call it a wafer lock), then it is extremely easy to pick - you can just use paperclips. I personally suck at picking pin tumblers (normal locks). I've only successfully picked a regular lock a handful of times.
remember: Don't carry lockpicking equipment around with you, as it is considered a crime to even possess the equipment w/o a license in most states. Having said that, it is a handy skill/hobby and could come in very handy around the house.