Using an old gamesave (as Eriador is currently in Oblivion - Hell - at the moment), I had a play with the Security Minigame (Lockpicking). Here is my guide to breaking the law!
First up - Quicksave. This gives you infinite retries!
OK, so you are looking at a side view of a lock with 5 tumblers.
Depending on the lock's difficult 1-5 of these will be closed and the rest open.
For Very Easy locks only 1 will be closed, so it is trivial to knock it upwards (move mouse up) and open the lock (left click).
For Easy upwards you need to open 2 or more tumblers which means you need to take one tumbler at a time and jam them open.
Each tim eyou knock a tumbler upwards the returning spring varies in its strength, so sometimes the tumbler pings back down quickly and othertimes more slowly.
To jam the tumbler you need to left click when the tumbler is at its highest point (there is an audible click in game when it gets there). If you time it right then the tumbler jams open. If you time it wrong then it springs back down and breaks your lockpick. Failure can also result in some of the other open tumblers falling back closed. As your skill improves the penalties for failure reduce with less open tumblers falling closed.
So what does this mean....
With patience, practice and copious reloading you can open any lock with only one lockpick.
This means you can always break out of prison (as you always get to keep one lockpick when you are arrested - assuming you have one).
As a brief aside I accidentally started the Assassin's guild quest during my trip to Oblivion this morning. When fighting some mini-demons my guard compatriate strayed into my line of fire and took a fireball in the back, dying. A message popped up "Your actions have been observed by unseen parties!" This means that next time I sleep I will be invited to try out for membership into the "Dark Brotherhood". I think I will save that quest for much later, when I have completed the Mage, Fighter and Thieves Guild quests, as murder generally goes down badly. (Plus the thought of me as Archmage of the Guild, and associate assassin has extreme comedy value! - Especially as one quest will involve stealing something from myself!)