The MIT Guide to Lockpicking[1] is the classic resource for getting started. It's an exceptionally good tutorial because it teaches you how locks work so you have a solid mental model you can refer to.
I came here to say this. My father provided me with a printed copy of this book and a few locks from the garage and I learnt a lot. A very rewarding experience for a young mind.
[1] http://www.capricorn.org/~akira/home/lockpick/