Spring steel is the steel use in spring mfg, and is the most effective for lockpicks because it retains its shape and rigidity, though bendable. It is corrosible and may tarnish if left wet, or used by especially acidic and sweaty hands. Spring steel is also the most affordable.
Stainless steel lockpicks don't rust or tarnish, are also hard, but more brittle to breaking before bending. I'm not an expert on stainless picks, so I'm not sure why people buy them.
In any event, you can buy individual lockpicks from many sources:
http://www.lockpicktools.com/lockpicks.htm
http://www.southord.com/catalog.asp?cat=trad_std
http://www.southord.com/catalog.asp?cat=slim_std
http://www.lockpickshop.com/BTLPSH.html
http://www.peterson-international.com/i ... lpicks.htm