Here is a complete list:
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Lock picking Guide from 1-300
1-100 - Keep picking the instant respawn chests near the lock picking quest.
100-175 - You can pick the Polly quest chest (Horde LP Quest chest), OR you can use either of the chests in the Poison quests (Alliance OR Horde) you get at later levels. You will have to click on your lock picking skill first before clicking on the chest.
For the Polly/Poison Tower chests: You NEED to activate (CLICK) your lock picking skill icon first, then (CLICK) on the chest as your cursor will NOT change automatically like it did during the quest or before it.
175-225 - Pickpocket mobs for Sturdy Junk boxes. Several mobs drop them, check thottbot and pick the best location for you. I recommend mobs in instances, that way you can pick it clean, reset the instance, and then go to town again. You can also pick doors in instances at this range. I personally picked the door in the Scarlet Monastery cathedral from 180-225 in a single day by repeatedly resetting the instance.
225-280 - There is no real easy way that I've found to skill this range other than to keep doing junk boxes. You can use the gates in the NE corner of Searing Gorge, but there is no reliable way to reset them (see notes below for more information). Also opening lockboxes in your faction's major city will get you skill ups.
280-300 - There are 3 doors in Blackrock Depths that are very close to the zone in that you can use to skill up this.
Trivial list
If your skill is lower than "orange" number, you won't be able to pick the lock (It won't even let you try). If your skill is higher than the "grey" number, you won't get a skill up from that item. A "?" marks information that might be wrong, multiple "???" mark missing information.
Stuff from pick pocketing:
Battered Junk box (Orange: 25? Green: ??? Grey: 100?)
Worn Junk box (Orange: 100? Green: ??? Grey: 175)
Sturdy Junk box (Orange: 175 Green: ??? Grey: 275?)
Heavy Junk box (Orange: 250 Green: ??? Grey: never?)
Dropped Chests - These are extremely random, so don't try to camp them.
Heavy Bronze Lockbox (Orange: 50? Green: 75? Grey: ???)
Ornate Bronze Lockbox (Orange: 75? Green: ??? Grey: ???)
Iron Lockbox (Orange: 75? Green: ??? Grey: ???)
Strong Iron Lockbox (Orange: 125 Green: ??? Grey: ???)
Steel Lockbox (Orange: 175 Green: ??? Grey: ???)
Reinforced Steel Lockbox (Orange: 225 Green: ??? Grey: never)
Mithril Lockbox (Orange: 225 Green: ??? Grey: never)
Thorium Lockbox (Orange: 225 Green: ??? Grey: never)
Eternium Lockbox (Orange: 225 Green: ??? Grey: never)
Doors:
Doors in the normal world (not in instances) are usually on some sort of timer. In other words, you can't repeatedly pick the same door over and over again for skill ups. The mechanism of the timers is not well known. Some people say if you pick something else (anything else) in-between attempts that it will reset some timers. Others say that if you pickpocket a mob, or kill a mob, or so something else, that this will reset the timers. It may be different for every door. Suffice to say that reset an instance always (to my knowledge) resets any doors inside, so use that method when you can. I am leaning towards the pickpocket theory for now.
Gnomeregan (Orange: 150? Green: 200 Grey: ???)
Scarlet Monastery (Orange: 175 Green: 226 Grey: 275?)
Searing Gorge Gate (Orange: 225 Green: ??? Grey: never)
BRD Shadowforge Gates (Orange: 280 Green: never? Grey: never)
BRD Prison Cells (Orange: 250 Green: never? Grey: never)
Scholomance (Orange: 280 Green: never? Grey: never)
Dire Maul (Orange: 300 Green: never Grey: never)
From Fishing:
Battered Chest (Orange: ??? Green: ??? Gray: ???)
Small Locked Chest (Orange: ??? Green: ??? Gray: ???)
Reinforced Locked Chest (Orange: ??? Green: ??? Gray: ???)
Sturdy Locked Chest (Orange: ??? Green: ??? Gray: ???)
Ironbound Locked Chest (Orange: 175 Grey: 250?)
Footlockers:
A number of areas in the world have footlockers in them. These areas are in place for rogues to visit to increase their lock picking skills. The contents of these footlockers are only token amounts of treasure, but they should allow for a more interesting experience while increasing lock picking skill. The difficulty of the locks in the area corresponds to the level of the zone, so if your lock picking skill is around 100, you would go to Durnholde Keep in Hillsbrad. But if your skill is 250, you might head to Tyr's Hand in Eastern Plaguelands.
Hillsbrad Foothills - Durnholde Keep (Orange: 100? Green: 130? Grey: ???)
Redridge Mountains - Lake Everstill (Orange: 100? Green: 130? Grey: ???)
Ashenvale Forest - Zoram Strand (Orange: 100? Green: 130? Grey: ???)
Stonetalon Mountains - Windshear Crag and Associated Mines (Orange: 100? Green: 130? Grey: ???)
Wetlands - Murloc Camps (Orange: 130? Green: ??? Grey: ???)
Desolace - Sar'theris Strand (Orange: 150? Green: 200? Grey: ???)
Badlands - Angor Fortress (Orange: 180? Green: 230? Grey: ???)
Swamp of Sorrows - Pool of Tears (Orange: ??? Green: ??? Grey: ???)
Searing Gorge - The Slag Pit (Orange: ??? Green: ??? Grey: ???)
Tanaris Desert - Lost Rigger Cove (Orange: 225 Green: ??? Grey: ???)
Azshara - Bay of Storms (Orange: ??? Green: ??? Grey: ???)
Eastern Plaguelands - Tyr's Hand (elite) Orange: 250? Green: ??? Grey: never)
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This list is a little older, so the range may be off a touch.
Info poached from:
http://www.worldofroguecraft.com/lockpicking.html