The Elder Scrolls IV: Oblivion Tips

Never Breaking Lock Picks
In the game you'll notice lock picks become further and fewer between. So I suggest that before you start the main quest or side quest...especailly the Theives Guild that you'll want to do the Deadric quest of the Nocturnal.

Alves Uvenim will give you the location.

After completing the quest you'll be rewarded with a SKELETON KEY. An amazing never breaking lock pick. This has to be one of the best rewards in the entire game.