the toool website had testing rigs, I usually build my own for about half the cost. get a Kwickset mortise deadbolt (double packs are great), and re-pin it yourself not that hard. I've done it for presentations and Bsides Detroit's Lockpick village.

I've gotten into "secure" areas in old jobs by either going over the wall in the drop down celling (running cable to locked offices), or under the floor (data center cages when I forgot the key).

Would I just get a "lock picking" kit? or is there a special name for it?

There are a lot of tools, the most common being the lock pick, of which there are many and the tension rod, also several to choose from.  The next most common and recent is the bump key and hammer, then there's jigglers and shims and tubular picks.

Something good to start with would be this: http://www.lockpicks.com/brockhage-lock-pick-set-b230.aspx

(i'd also get one of these for starters: http://www.lockpicks.com/longtwistwrench.aspx)

I've got this kit: http://toool.us/equipment.html The only benefit of that over the other one above is that is has a mix of thick and thin picks, and it has the twist tension rod.  But I don't know if that justifies the cost difference.  That site has a lot of cool stuff, look around.  That vice I mentioned earlier is here: http://www.lockpickersmall.com/universal-practice-lock-stand.html

Now, I'd be remiss if I didn't share the lockpicking rules.

1. Do not pick locks which you do not own.

2. Do not pick locks which you rely on.

That's it.  And I can personally attest to rule number two.   

I think my kit cost me about £40 and it has all sorts in I don't do much lock picking but I used to practice on a lock I purchased for about £7 really interesting when you take it apart too.