I've toyed with it, and the best way to learn seems to be being taught at least the basics by someone who knows how to do it. There's a surprising amound of lockpicking clubs, and if you're going to any kind of hacker event there's likely someone who's willing to show you the basics.
I honestly didn't spend overly much effort on getting started on my own, but I found getting the basics shown in person was way more effective to get started than trying to follow instructions online. Working on improving those skills on my own then worked just by doing it, but seeing a technique done and getting immediate feedback the first few times was really helpful.
Out of curiosity I learned myself playing with locks, its a matter of practice and feel.
If you want to go deep into it they sell transparent training locks so you can see the springs.
The best purpose was impressing friends and also emergency situations that I needed to unlock something that im allowed to (mine or friends).