Did you steal Finnigan's magic lockpicks from Commander Kratus' office? If not, talk to Finnigan in the Ducal inn cellar to get that quest. They are unbreakable (with the
patch installed).
If you started the game after installing the patch you can steal them, give them to him to complete the quest, then buy them back. Since you said he has a poor inventory, it sounds like you started the game before installing the patch, in which case you need to keep the lockpicks and leave the quest unfinished, since you can not buy them back. In addition to lockpicking, they have another nice attribute... <span class='standouttext'>Spoiler : </span><span class='spoiler'>while in your inventory, they give you a +20 agility bonus</span> (highlight the text to read).
If you broke the magic lockpicks in an unpatched game, installing the patch will place them back in Commander Kratus' table/desk. If you dropped them and they disappeared, or you gave them to Finnigan and can not buy them back, you can replace them;
Lost Items - guide and directory of inventory files (the first mention of Finnigan's lockpicks directs you to a different topic, but since the 1.34 patch, this is the best recovery procedure, described further down in the topic)
You could have gotten a couple levels of Lockpick by joining the thieves' guild (one by loosing a bet, and one from a choice of skills when you join).
Picking other locks will not help. The lock in the cellar only requires level 1 Lockpick. You were trying the door to the north, right, not the one to the east?
In addition to Tingalf (best choice if you have not had him arrested yet) and Blake in Ars Magicana, you can also try Mpenzak in Verdistis for Lockpicks.
If you quick save before running your mouse over an item/chest/merchant or hitting the alt key, you can identify the item or trade with the merchant, then quick load to get different stats or inventory. This can be done repeatedly to get the best stats or specific bonuses on an item (save after finding good candidates) or looking for specific items (such as spell books or charms) from merchants. Don't waste too much time with this, though, it really isn't necessary to get the best possible equipment.
