It can be done if you know how to make a tool and pick locks. I saw the episode, the lock appeared to be a Kwikset, they have a pretty open keyway so there is plenty of room for a larger pick.
you have to have the right bulb to do it. a normal incandesant bulb wont have a big or strong enough filament. They used a high pressure sodium bulb in the episode if I recall. Which would internally have enough material to make a pick.
