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[JustDanMI]

I take it you havn't talked to many people in the towns.  As for Lockpicks, you can get them plundering caves or off of goblins and such.  But my favorite is when you join the Theives guild, your fences will sell them to you.

To get into the Thieves guild, in the main city, bribe a begger whose question about the grey fox stays highlighted.  After enough cash, he'll tell you where to go.  The mages guild I believe you can join at any Mages guild.  And for the fighters guild there are only 3 guilds that will let you join.  Just ask at a fighters guild, and they'll tell you which one.

As for the dark brotherhood, you don't find them........they find you.  After you kill an innocent person, the dark brotherhood will come to recruit you after you go to sleep the next time.

And here's a tip for future questions, TALK WITH PEOPLE IN OBLIVION.  You can learn alot from the local townsfolks.