You don't need the key, I lockpicked my way in. However I think your skill needs to be quite high in this area, and looking back I wouldn't bother with the lockpick skill. In some games the lockpick skill is essential to get some of the best items, or even proceed in the game. However no essential items or quests require it, other than lockpicking 1 door for the theives guild, which only needs level 1 or 2 anyway.
