1. Netherlands all the way. TOOOL!

2. Germany
3. Some states of USA.
Those are the only countries that have a -real- active lockpick community, as far as i know. Please tell me if i'm wrong.
In other countries the public opinion is that only burglars use lockpicks

shame shame shame, we need to educate those Hollywood zombies.
I still didn't find out about the law here in Thailand, but cops here (as most countries) don't know much of the law either, so meh... As long as you don't intend to do anything illegal and are not lock picking in public I won't expect any problem, anywhere.
In the Netherlands, it can be illegal to have a screwdriver in your car, if the cop feels like you intend to harm someone with it or are going to break and enter etc., but if you explain it's to screw screws it's fine. Same counts for crowbars and bolt cutters, I guess it counts for lockpick set's too.