I'm talking about the microphones used on eg a cello sometimes.
Those should work.
Techniques of Safe and Vault Manipulation recommends a harmonica mic. They also show a cheap radio shack lav mic, which should work fine. I got a pile of medical mics meant for listening to heart sounds and they work great. I just plug it into the phono input of my little stereo amp, set it for a magnetic cartridge, put my headphones in the front and bob's my uncle. The nice thing about using a home stereo is that you get good volume and tone controls and they're dirt cheap at thrift stores if you don't need speakers.
Pretty much any mic seems to work. The trick is to get a good mechanical connection between the mic body and whatever you're working on. I'm thinking about getting something like an alesis nanocompressor so that if someone slams a door or the lock explodes I don't go deaf. If you're going to build an amp, I'd definitely put a limiter circuit in it. Let me know if you want a schematic and I'll dig one up.
RF sniffing sounds like fun. My home shop has a vector nw analyzer, spectrum analyzer, and a couple digital scopes. If I drag the old logic analyzers out from the basement I should be about geared up. Any suggestions for first locks to go after? Thus far I've managed to avoid buying a safe (the pile of * analyzers is enough weight to move around), but doing this without the shielding of the enclosure seems like picking a cutaway lock. Maybe I'll just get one of the small digital lock boxes.