Warning, this post may contain spoilers. Read at your own risk.
If you enter the town of Riften on the southeast corner of the map and wander into the marketplace, you'll be greeted by a man named Brynjolf who has a proposition for you. Carry out his wishes and you will be inducted into the Thieves Guild. Once you're a
member, there is a member who will function as a fence (Buys stolen goods off of you, sells tools of the trade) and she regularly stocks 30+ lockpicks at a price of 6 gold each.
I'm sure you have already found it since it's a month late but for anyone else looking... If you see Khajit sitting outside of a town there will normally be one that barters and carries about 25+ lockpicks
Lockpicks are also sold by Lucan in Riverwood and Beletor in Whiterun and most general goods stores in small quantities. The best source to buy them is any Khajit caravan. There are supposedly 3 of them though I've only seen the one that visits Whiterun.
Since I break them at an alarming rate sometimes I buy all he has everytime I see him.