There's loads of sites on lockpicking for both professionals and locksport practitioners. Generally, the lock-picking tools aren't illegal by themselves, but you might need to explain yourself if you're acting suspiciously (most burglars wouldn't have the relevant skills to pick a lock and instead would just break their way in instead).
Car door lock picking tools are more suspicious as locksport doesn't usually include car doors, so you'd better have a good reason for carrying them.
