The EJM3

This channel is about the exploration and teaching of locksport: the extremely fun and addicting sport of lockpicking.  

No.  It's not illegal, at least not where I live and as long as you follow the rules of lockpicking set by TOOOL (The Open Org of Lockpickers) it's most likely not illegal were you are too. 

1) Never pick any lock that you don't own, unless you have been granted explicit permission by the lock's rightful owner.   
2) Never disseminate knowledge or tools of lockpicking to individuals whom you know or whom have reason to suspect would seek to employ such skills or equipment in a criminal manner. 
3) Be mindful of the relevant laws concerning lockpicks and related equipment in any country, state, or municipality where you seek to engage in hobbyist lockpicking or recreational locksporting.

All you need to know is that this sport is filled with extremely helpful enthusiasts that are just as addicted to solving these puzzles as you will be once you open your first lock