I've seen 2 types of locks that can't be opened:
1) lock says that your lockpick skill is not high enough.
2) lock that says it can't be opened with lockpicking.
Type 2 requires a key. Then there are other doors that must be opened with levers, buttons or passwords.
I find lockpicking useful. Some of the wisdom out there says to wait until about 10th lvl and then max it and go back and open every chest you missed (due to treasure scaling to your level). I have been keeping it in line with my combat skills and have been happy with it that way too, but I gravitate toward thief/assassin types anyway and can't stand to let a nice chest sit idle.

Finri