Lock picking sets are incredibly handy to keep around, but nobody wants their pockets stuffed with too much gear. If you already carry around a multitool, Instructables user ksnewells shows off how to add in a lock pick set.
Ksnewells basically just replaces the file on his multitool with a lock pick set. He measures, then drills through the lock pick set to get every lined up, and then pieces everything together with the tension tool hidden inside the other side of the multitool. As ever, remember the legal status of lock-picking tools varies from state to state.
Gerber Multitool "Covert Entry" Mod [Instructables]