Yes, you can teach yourself to pick locks but just like any specialized skill, it requires practice. Once you have gained proficiency, you can save the day for someone because you were able to open a door. It's no different than shooting a gun or shooting a camera. Practice and patience allows you to perform or rather outperform others around you. Make the choice to learn this skillset. It's better to have it and not need it than to need it and not have it.
If you don't have it, EOD Gear also offers a complete line of door rams, quickie saws and backpack cutting torches giving you easy access to whatever you're getting into.