lockpicking is a ability to have
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Lockpicking is one of the skills, like your weapon skill, which is locked to your level. So if you start your lockpicking career at level 16 then your max possble skill will be 80. If you start at 70 than you'll max out at 350. Of course, when the Lich King expansion comes out and the level cap is raised to 80 you'll get a max of 400 skill.
If you're a lower level Rogue then your path to lockpicking will be a bit different from that of someone building it when they're already 70.
Do the lockpicking quest and pick the practice locks until your skill is capped. Then you'll pickpocket all the rest of the boxes you'll need for the rest of your career. That's about it. Sap and/or your Distraction ability will be invaluable for this.
All humanoid mobs in the game, at least after level 18, have some chance of dropping a lockbox when you pick their pockets. This includes Undead, Nagas, Birdmen, Orcs, Demons, Ogres and so on. Make it a routine to always pick their pockets, then kill them. You'll generally find it easy to keep your skill capped this way.
As usual these lockboxes contain herbs used for the Vanish ability and for the poisons, some vender junk, and on rare occasions something valuable. For example, I've found Living Rubies a couple of time in these boxes. On my server they sell for 60g a pop.
Things have changed and now the Horde box can only be picked once. I guess Bliz thought that picking the one box many times was just too easy. Darn.
To large scale the Horde quest is a it different in that the mobs that will kill you consist of low level pirates before you get to the ship, and one giant parrot near the target box. Alliance Rogues just have to get by some big spiders and level 22 Orcs on the way to their mill.
You're level 70 and have mastered the Lockpicking skill, it's time to move on to more interesting things.
Would your Rogue perform better with swords, maces, or daggers? Is that Hunter getting you down only because you got the wrong talent build? Does it take so long to get your final mount, because you do the wrong quests or farm gold in the wrong places?By the way, you don't actually have to do the quests. You can buy your thieves tools off a trade goods vendor, you get the skill from your trainer, and you can go and pick the boxes at any time. Do the quests for the XP and any items that may appear as rewards.
All of these quests are part of a chain. See your Rogue trainer for details. Naturally, any Horde or Alliance who like to live a little more dangerously can get the lockpicking practice in at the other side's area.