In United States, laws concerning possession of lockpicks vary from state to state. Generally, possession and use of lockpicks is considered equivalent to the possession of a crowbar or other tool that may or may not be used in a burglary. Illegal possession of lockpicks is generally prosecuted as a felony under the category of possession of burglary tools or similar statutes. However simple possession is completely legal as state statutes all require proof of intent.
In California, locksmiths must be licensed by the state. However simple possession is completely legal as illegal possession must be coupled with felonious or malicious intent.
Most countries of the European Union don't regulate the possession of lockpicks. All responsibility concerning criminal or legal acts using the picks is taken by the owner of the lockpicks.
In the Netherlands, owning lock picks is legal, but using them on someone else's locks without permission is not. There is even a lock picking championship, the Dutch Open, which was reported on in the newspapers.
In United Kingdom, a person who carries a lock pick set (even a home made one) can be charged with the offence of "going equipped", unless they have a good reason for carrying them. The penalty for this can be upward of 5 years' imprisonment.