I prefer Skyrim's system, because it's more realistic. Picks snap off, penalizing low level players, more frequently. While it's still possible to break into the lock, it takes much more work. With Oblivion's system, it gives itself away as how to pick the lock, which means any lock can be picked regardless of level. I've yet to break a single lock pick in Oblivion since I know the pattern. A little patience is all that's required.
Both systems could be improved, but at the same time, I don't want the system to turn out like it is in the Fallout games, which requires a specific level to pick the lock. Let me decide if going through 50 picks is worth grabbing two potions and a few gold.
I'd like to see Lockpicking be used more intuitively than just randomly thrown on things to boost a skill level. It makes no sense to me why some chests have locks, while others don't, being in the same area.
I'd like the skill to punish players who aren't true thieves. There's no reason for them to be breaking into boxes if they're just doing it to hoard stuff. Anything in a chest should be marked "stolen".