I have advice on lockpicking.
Actualy, I found that lockpicking is quite possible in Morrowind. Havn't played Oblivion or arena though.
Oblivion arguably has the best implementation of it. Well, I think it's the best, at any rate.
In Daggerfall, lockpicking is pointless except for roleplay. Like he said, Open opens everything that can be opened, regardless of its strength. If you don't want the spell you can still bash the door down with enough time and hits.
But you're a burglar, right? You want to be a character who knows his way around locks. It's also nice to be able to get into any quest objective house simply by showing up. I did some experiments in an attempt to train lockpicking. It's a pain in the butt. To train the skill, you gain experience from 1 attempt on each lock while visiting an area. An area is defined as a town, interior cell, exterior land cell, or dungeon (usually accompanied by the "You are entering..." message at the top of the screen. Successive attempts on the same lock while in the same area have no effect on the skill and won't yield different results, either. It doesn't matter if you succeed or fail; the experience awarded appears to be the same. The maximum speed at which you can train lockpicking is to buy a ship. You can zoom back and forth between your ship and town to make a rapid string of attempts on a lock.
Recently I wrote a simple autohotkey bot that does this, but it was less because I intended to use lockpicking and more because... I just like watching my bots
I recommend using the trainers to bring lockpicking all the way up to 51% early in the game, so that every lock you attempt will count towards achieving a high level of skill. if you are Thieves Guild, you can stop in towns along the way to a quest objective and use the trainers. When a skill increases, a silent timer starts counting down six hours before that skill can increase again (you can still gain experience in it towards the increase, though). Trainers can be used in a twelve-hour cycle, so that you can train and then rest nine hours, and you will be able to train again.