When it comes to learning the fine art of pilfering goodies from locked boxes, there is only the basic quest that will teach you the skill. Unlike other "gathering" type skills that you can pick up in game, there are no higher lockpicking trainers that you check in with to learn more down the road. Instead, you will gain 5 points of potential ability towards your lockpicking skill per every level that you gain. Both Alliance and Horde get their lockpicking quests at level 16, with a pile of Lockpicking points already available for the growing Rogue to skill up on. (Your maximum lockpicking skill can be figured by multiplying your Current Level by 5.)
Many Rogues will generally recommend that you level the first 100 points in the same area where you pick up your lockpicking quest. (For Horde, this would be the locked chests in the bow of the ship just south of Ratchet. For Alliance, this would be from the chests near Alther's Mill in Redridge Mountains.) This is certainly the most cost-effective, and largely concentrated way to deal with getting through the initial skill-ups. If you decide to level past 100, you most certainly can do so by using the Poison quest chests, but whether or not this is worth the time investment (and potential re-poisoning!) is entirely up to you. I honestly prefer to make my own way after 100, by relying on pickpocketing mobs along the way and skilling up through either advertising lockpicking, or by looking for world-spawn chests when I'm questing in a nearby area.
For pick-pocketed junkboxes, here's your general rule of thumb:
- Battered Junkboxes (L22-32 mobs) - Gray at roughly 105
- Worn Junkboxes (L32-42 mobs) - Gray at 170
- Sturdy Junkboxes (L42-52 mobs) - Gray at 275
- Heavy Junkboxes (L52-60 mobs) - Gray around 325
- Strong Junkboxes (L61-70 mobs) - Do not currently Gray, are only available in Outland.
- Waterlogged Footlocker - Orange:75, Gray: 150 - Lake Everstill in Redridge or Zoram Strand in Ashenvale
- Horde Poison Quest Chest - Orange: 100, Gray: 170 - Tower near Sludge Fen in the Barrens
- Alliance Poison Quest Chest - Orange: 100, Gray: 170 - Southeast Westfall in Klaven's Tower
- Battered Footlocker - Orange: 110, Gray: up to 200 - Durnholde Keep, Windshear Crag/Mine in Stonetalon Mountains, Murloc Camps in Wetlands
- Waterlogged Footlocker - Orange: 150, Gray: 225 - Sar'theris Strand in Desolace
- Battered/Dented Footlocker - Orange: 150-175, Gray: 250+ - Angor Fortress
- Mossy Footlocker - Orange: 175, Gray: ? - Pool of Tears outside ST in Swamp of Sorrows
- Dented Footlocker - Orange: 200, Gray: 295 - Lost Rigger Cove in Tanaris, Slag Pit in Searing Gorge,
- Mossy Footlocker - Orange: 225, Gray: ? - Bay Of Storms in Azshara
- Scarlet Footlocker - Orange: 250, Gray: ? - Tyr's Hand in Eastern Plaguelands
- Wicker Chest - Orange: 300, Gray: 350+ - Feralfen Village in Zangarmarsh
- Dented Footlocker - Orange: 325-350, Gray: 350+ - Kil'sorrow Fortress in Nagrand
- Ornate Bronze Lockbox (Gray at approximately 115)
- Heavy Bronze Lockbox (Orange: 25, Gray: ?)
- Iron Lockbox (Orange: 70, Gray:170)
- Strong Iron Lockbox (Orange: 125, Gray: ?)
- Steel Lockbox (Orange: 175, Gray: ?)
- Reinforced Steel Lockbox (Orange: 225, Gray: 325)
- Mithril Lockbox (Orange: 225, Gray: 325)
- Thorium Lockbox (Orange: 225, Gray: 325)
- Eternium Lockbox (Orange: 225, Gray: 325)
- Khorium Lockbox (Orange: 325, Gray: 350+)
- The Deadmines - Orange: 1, Gray: ?
- Gnomeregan - Orange: 150, Gray: ?
- Scarlet Monestary - Orange: 175, Gray: 275
- Searing Gorge gate - Orange: 225, Gray: 275+
- Blackrock Depths - Orange: 225, Gray: 300+
- Scholomance door - Orange: 280, Gray: 340+
- Stratholme gates - Orange: 300, Gray: ?
- Dire Maul - Orange: 300, Gray: ? (note: doesn't work on all doors in DM)
- Shattered Halls - Orange: 350
- Shadow Labyrinth - Orange: 350
- The Arcatraz - Orange: 350
As you go through your last levels from 50-60, stockpile as many Heavy Junkboxes as you can -- but before you open them, be absolutely certain to turn off auto-looting. Trust me on this. Unlock the Heavy Junkboxes as you normally would, snag your coin, but leave at least one item in there. Normally, I tend to opt to take the Blinding and Flash powder and leave the poison reagent, but if there's a crappy grey in there like snuff, I'd let that sit and take the poison reagents. (note: the Antique Gun from Heavy Lockboxes is NOT a bad gray item. It's a rare gray, vendors for over 3g, and occasionally AHs for much more to Firefly fans.) I'd also point out that if you don't want a mailbox full of boxes, this is the perfect time to put a couple of mules in the capital city of your choice and prepare to weigh them down with Junkboxes.
Once you hit level 60 and have piled up a whole bunch of Heavy Junkboxes, head out to Ravenholdt, and talk to the gentleman on the balcony upstairs. He will exchange 5 open Heavy Junkboxes for the (unique) Dusksteel Throwing Knife. Once you get that green, simply turn around, run into the basement, and sell to either the Dwarf or the Gnome for 1g32s53c. Bouncing between the gentleman upstairs and the vendors in the basement with those green daggers can net you some decent cash for a bunch of items that you were just going to destroy anyway.
One final note, whatever you choose to do, be sure to stay on top of your lockpicking as you're leveling! Going back at endgame because your group lost a chance at some sweet blues in chests in Outland instances due to your non-skill is not an embarrassment you want to face. Not to mention you're going to feel pretty silly hunting chests down all over the world, and then dealing with mobs that are ridiculously below your level attacking you for opening them. Sure, you can beat them senseless at that level, and steal their lunch money, but why waste your time when there are better targets out there just waiting to join your own sparkly piles of win?