For the most part, it's much the same as any individual sport in that it's more of a personal challenge than anything else. Beyond that, I figured that if SHTF it could be a handy skill set to have.
Anyone interested in getting started needs to first check their state's laws regarding possession of the tools. In some states it's perfectly legal. In others it's only legal if you are a licensed locksmith business. And in yet others it's mostly legal, but you can get into big trouble if LE can prove intent even if they don't catch you in the act.
Other than that, just follow the rules. Stay legal! DON'T pick a lock that you don't own! The only exception to that rule is, if you have specific permission or invitation to pick a lock by someone you can confirm IS the owner.
To get your feet wet, you can buy a cheap set of picks on Ebay or Amazon, but be aware that they are just that....a cheap set. They aren't going to be made of top quality steel, and they will likely have sharp or burred edges that should be smoothed over before you even begin. Then, don't start with your entry door locks. Start with something easy. Just about everyone has a Master Lock No.3 or No.5 padlock kicking around, and they are a good first lock to start learning on. If the first one leaves you feeling frustrated, then you might want to consider a different hobby, and you haven't invested much. On the other hand, if it leaves you wanting to do more, then consider spending a bit more money on a better set of picks. If you're handy with tools, then you can even make a decent set of picks yourself. I've done both.
Stay away from cheap Chinese locks from the dollar store! When you run out of padlocks around your house, start hunting garage sales. It's often worth it to ask whomever is having the sale if they have any locks that they might not have put in the sale because they don't have a key. A lot of people figure that without a key nobody will want their old lock, and you can generally pick them up for next to nothing. I bought a couple dozen padlocks and entry locks this year, and I bet I haven't spent more than $15 on the whole lot of them. Just don't get too carried away with padlocks if they don't have keys, as most of them are of little use to anyone that's not doing what you're doing. Entry locks are a different story. If you stick with the hobby long enough to get serious, you'll eventually start taking them apart, re-pinning them, and cutting your own keys. At that point you can improve the security of your own home, sell them online or in your own yard sale, or start trading them with other pickers. Trading with other pickers and selling on Ebay to other pickers is also a good way to get un-buried from all the padlocks that you've acquired, and then you'll have the money back to spend on new challenges.