Regarding lockpicking I would like something like this:
A lockpick has durability which decreases with every use. The more points you put into lockpicking ability, the better you can look after your lockpicks, i.e, the durability decreases more slowly. Additionally, the more lockpicking ability points you have, the more difficult doors and chests you can lockpick (not sure whether this is already the case?). As Stabbey said, not every chest should have a key nearby and I also think that some chests or doorways should be made resistant to magic (otherwise why learn lockpick if you can just smash the chest open with a fireball or so?)
Points in Lockpicking already let you open higher level locks. That's why Lockpicking is an ability and requires multiple points into it.
I don't see a real need to change the mechanics like that, though. I don't even mind that lockpicks are consumed on use. All that really needs to happen is adding in many locked chests which do not have any keys associated with them (and/or removing some existing keys), and lockpicks need to appear in loot and on sale from vendors.
Doing something to make magical opening not the cost-free option it is now isn't a bad idea either.
