After I saw this guide a while ago, I got really interested in lock picking and ended up buy a kit. There a decent subreddit and it's a good resource to get started. I purchased the kit they recommend PXS-14, and it works great. I remember I picked my first lock in about 5 minutes and then spend another hour trying to do it again. It takes a while to feel right and become consistent.
http://www.thinkpeterson.com/picksets.html#LESS%20EXPENSIVE%...
Of course, its up to personal preference, they are both great brands.