Lock Picks: Use the action button on a locked door, and start a lockpicking sub-game. The objective is to find the sweet spot in the lock, and pick each row, one-by-one. By moving your pick with your mouse, you're able to probe the row you need to solve in search of the sweet spot. You'll know when you have almost found it, as you'll hear a rapid, metallic clicking, and Garrett will move his arm up. You can also use WASD (Or whatever bindings you've set for "Move Forward, Move Backward, Strafe Left, Strafe Right) to control the pick, and doing this while rapidly clicking the mouse button will give you the ability to solve a lock in 5 seconds, while using the mouse it would have taken 15.
http://en.wikipedia.org/wiki/Thief:_Deadly_Shadows