All in the name of fun, you understand!
Never, ever pick a lock you rely on, and never ever pick a lock that you don't have the right to. And never try to pick them, either! This is because burglary is a crime, and also morally wrong.
Step 1: Find a Lock
Get yourself a secondhand lock, or a cheap padlock.
You want a Yale style keyway. Avoid anything off a car or other vehicle, since they are generally wafer locks. If you are in the UK, avoid getting a lever lock, you want either a rim cylinder, or a euro cylinder.
To start off, get the cheapest and loosest, most rubbish lock you can. This will make your first attempts far more likely to work.
Suitable ones are shown below (but some of these are very hard to pick!)
The first is a System Vario A from EVVA. You don't want to start on this, but it shows the shape of a euro style lock cylinder. I'll be showing you one of these today.
The second is an ERA rim cylinder, a good starter lock, in it's cheapest form.
The third is my training lock board, which is simply 3 32mm holes with the three locks fitted, then put in a clamp. You don't need an Instructable for that.
The top one is a Yale X5, the second is a standard Yale, and the third is some 6 pin restricted section.
The fourth picture is so you know what a euro cylinder looks like, side on.