All right - I read about this in a guide, did it myself - and now I have the most useful non-combat item in my own opinion! The Skeleton Key!
Once you have the quest "Blood of the Daedra" and have Azura Shrine on your map, you can find new shrines. This one is easily found by talking to Alves Uvenim in Leyawiin Mages Guild. Talk to her about Daedric Shrines. She will tell you the location of the Shrine of Nocturnal. Visit the shrine (make sure to be lvl 10 first), activate it, and you will learn, that you have to track down some Argonian thieves in Leyawiin, who have stolen the Eye. I won't spoil anything else, as I am just supposed to make you do the quest- not tell you about it.
The quest is not that hard, there is a dungeon you have to visit with some trolls and mountain lions, but nothing I couldn't handle (means that a noob could handle it).
The reward on the other hand is the Skeleton Key, which is an unbreakable lockpick, which adds 40 to your security skill! Thus - no locks can't be picked (at least those who do not requite a key)! You have unlimited attempts to open the lock, and it is very useful! Now you don't need to buy lockpicks from Sam or anything - it's all in that single pick
