Contrary to widespread myth, it is not a felony to possess lockpicks. Each state has its own laws with respect to such burglarious instruments. Here is the Massacusetts version quoted in entirety from the massachusetts general code:
Chapter 266 (crimes against property)
Section 49. Burglarious instruments; making; possession; use.
Whoever makes or mends, or begins to make or mend, or knowingly has in his possession, an engine, machine, tool or implement adapted and designed or cutting through, forcing or breaking open a building, room, vault, safe or other depository, IN ORDER TO STEAL THEREFROM money or other property, or commit any other crime, knowing the same to be adapted and designed for the purpose aforesaid, WITH INTENT TO USE OR EMPLOY OR ALLOW the same to be used or employed for such purpose, or whoever knowingly has in his possession a master key designed to fit more than one motor vehicle, WITH INTENT, TO USE OR EMPLOY THE SAME to steal a motor vehicle or other property therefrom, shall be punished by imprisonment in the state prison for not more than ten years or by a fine of not more than one thousand dollars and imprisonment in jail for not more than two and one half years.
In other words, mere possession means nothing. If they stop you for speeding or something, and find a pick set, they can't do much. On the other hand, if they catch you picking the lock on a Monec machine they get to draw and quarter you.
States with similar wording include ME, NH, NY. One place that DOES NOT have similar wording, and does make possession illegal, is Washington, DC. These are the only other places I have checked. I would imagine that most states are similar to Massachusetts, but I would not bet anything ubstantial (say, more than a slice of pizza) on it.
It may be a good idea to carry around a xeroxed copy of the appropriate page from your state's criminal code.
As you may have noticed in the preceeding sentance, an outdated term was used. If that gives you any indication of when this document was written, I suggest reviewing your local governments' laws and regulations before wondering around with any of the tools mentioned in this document. This is just a suggestion from 2013, by Jason Raveling.