Seeing as bards get Picklock at, like, 10, now, i suppose this tip will be much more useful, but the easiest place i've found to work on pick locks is Paineel. Just after you zone in, you should see a giant hole... follow the path right around the hold, if you go under the roofed-tunnel, learn left from right :P
You should come to what looks like a dead-end but this is just an illusion.. it is really an elevator to the city but you have to unlock it. There is a long, thin rock on the ground. this is the switch, use your lockpicks on that. This zone is nice because there is little to no chance of getting attacked by anything, even at level 10. This is a newbie zone.
Another benefit of the paineel zone is that you can work on swimming and pick-lock at the same time, and wind instruments, if you need it. Next to the Warrens zoneline you will be in a circular room with a broken fountain in the center and an erudite. Take the path opposite the way you came in (not the warrens entrence) and you should head down a path to a lake... in the lake is a rock formation on the wall... this is a secret door to the Hole (or 'the Ruins of Old Paineel' as it has been renamed).
You will need Enduring Breath for this trick, not hard to obtain, Singing Steel Bracers, Fishbone earing... or if you're lvl 16 you can use the EB song from highkeep with a flute and work on three skills at once. I swim into the wall, just above the secret door, using auto-run into the corner so I work on my swimming. Then i switch to third-person view with my lockpicks and keep clicking the door. Viola.
Oh, and one last side note... although Bards cannot open it, the vault behind the bank in Freeport is great practice for rogues.