It's pretty good! However, it can get complicated.

This is what I did:
joined the DB guild
killed lots of guards
chose 1st person since 3rd person camera is [censored]

Questions:

I ran out of lockpicks, where can I buy them? I need it for a DB quest, where I have to enter the imperial prison sewer, is there a way to enter without lockpicks? How many guards are there?

join the thieves guild and you can but lockpicks

Well...

I tried to join the Thieves Guild, but I killed the target. That's how I got chosen to be in the Dark Brotherhood guild.

You can buy open lock spells, although they're notoriously difficult on gates...

Bandits and goblins generally have lockpicks, so maybe do some roaming in the highways and byways and go foraging in mines to find some....

And if the quest is the one I think it is....

Kill bandits and goblins. Raid their dungeon areas, they're usually stocked with a few lockpicks here and there. Also, there's the Theive's Guild (as noted) and also http://www.uesp.net/wiki/Oblivion:Shady_Sam, who stands just a few meters north of the Chestnut Handy Stables outside the Imperial City. He usually has 30 lockpicks for sale.

Check crates and barrels in the cities. They can produce quite a few lock picks and repair hammers or you could go get the skeleton key and not worry about finding or buying lock picks.

Thanks for replying everyone!

Do that. Once you are level 10, go visit Nocturnal's Shrine, http://www.uesp.net/maps/obmap/obmap.shtml?centeron=Nocturnal%27s+Shrine

Since youre already in the DB you can buy lockpicks from the merchant in their sanctuary in Cheydinhal. He's a jerk though so you may end up killing him and having to fight a wraith of sithis.

You better don't try Morrowind...

also shady sam sells lockpicks (and poisons too) you can find him just outside the imperial city a ways past the stable(hes sorta hidden so stick by the wall and youll find him)

My best advise is to take your time with the game. Don′t come here and ask immediately if you get stuck. Explore, try different things and discover what works and what doesn′t. I can assure you, that′s the most rewarding way to play any game

Heh. Each to their own, but I wouldn't say Oblivion's complicated. It only has a bit of a learning curve up front--and nothing compared to, say, Mount & Blade, for example. What's more, it spoon-feeds quests, lets you travel quickly everywhere, simplifies combat greatly, and makes sure you don't have to worry about running into a monster 20 levels about your current character. The development team really went out of their way to make it as easy as possible to play.

Now if you do have questions, just post a thread and ask, or search the database here for answers.

Theres a guy outside the imperial city who sells lockpicks

Shady Sam is your man.

The Dark Brotherhood Store guy has lockpicks

Shady Sam sells lockpicks

If you join the Thieves guild you can buy Lockpicks

There's also a quest that makes lockpicks useless in the future.

Bandits occassionally have a lockpick in their inventory

Some Goblins also have lockpicks in their inventory