Pick Lock is a core rogue ability learned at level 24. It is a skill that allows a rogue to open lockedchests, doors, and lockboxes. As of Mists of Pandaria it appears as a Lockpicking icon in the Spellbook. Rogues start at an initial level 120 lockpicking skill; character leveling will automatically increase it. There is no longer any need to pick locks to get this skill up and there are no profession-like proficiency levels to be trained; rather, the skill is capped at five times the rogue's current level.
Lock picking provides an extra utility in parties in instances by opening doors and chests. The higher the level, the better chests and doors can be opened.
Over the course of the game's development, this skill has been continuously de-valued by Blizzard. Each expansion has diminished the usefulness of this skill. Starting with Burning Crusade, high level locked chests were not added with the expansion comparative to existing areas. After Burning Crusade, locked chests were never included in instances and alternatives to unlocking doors were increasingly provided. In Wrath of the Lich King, locked chest were actually removed from places where they previously existed. In Cataclysm, blacksmiths were given skeleton keys ([Obsidium Skeleton Key]) and engineers were given Seaforium charges ([Volatile Seaforium Blastpack]) to open even the highest difficulty locks (525).
The bulk of the discussion of this topic is under the Lockpicking skill.
/Patch 4.0.1 (12-Oct-2010): Pick Lock no longer needs to be used repeatedly on increasingly more difficult to pick locks to increase and now increases in fixed amounts as the rogue levels.