Lock picking is as old as locks themselves, and is enjoyed as a hobby and practical skill worldwide. While it has been tainted in many people's minds as something only done by criminals, it is in fact a skill that could very well save your life if kidnapped, as well as saving hundreds of dollars in locksmithing costs to open things for which the key has been lost. Criminals and thieves are far more likely to break a window and in other ways use force to open things rather than trouble with the delicate, and many times lengthy method of picking.
Practice locks such as the one used in this video can be found for sale online with little searching, but all that is really necessary to practice is a simple padlock. Practicing lock picking should only be done on a lock that is not essential to some purpose, as it is possible to damage a lock if done incorrectly. It of course should also not be done on a lock that does not belong to you, as doing so is likely illegal.