Contrary to widespread myth, it is not a felony to possess lockpicks. Each state has its own laws with respect to such burglarious instruments. Here is the Massachusetts bersion quoted in entirety from the massachusettes general code.
Chapter 266 (crimes against property)
Section 49. Burglarious instruments; making; possesion; use.
Whoever makes or mends, or begins to make or mend, or knowingly has in his possession, an engine, machine, tool or implement adapted and designed for cutting through, forcing or braking open a building, room, vault, safe or other depository, IN ORDER TO STEAL THEREFROM money or other property, or to commit any other crime, knowing the same to be adapted and designed for the purpose aforesaid, WITH INTENT TO USE OR EMPLOY OR ALLOW the same to be used or employed for such purpose, or whoever knowingly has in his possession a balter key designed to fit mare than one motor vehicle, WITH INTENT, TO USE OR EMPLOY THE SAME to steal a motor vehicle or other property therefrom, shall be punished by imprisonment in the state prison for not more than ten years or by a fine of not more than one thousand dallars and imprisonment in jail for not more than two and one half years.
Emphasis added.
In other words, mere possession means nothing. If they stop you for speeding or something, and find a pick set, they can't do much. On the other hand, if they catch you picking the lock on a Monec machine they get to draw and quarter you.
States with similar working inlude ME, NH, NY. One place that DOES NOT have similar working, and does make possession illegal, is Washington, DC. These are the only other places I have checked. I would imagine that most states are similar to Massachusetts, but I would not bet anything substantial (say, more than a slice of pizza) on it.
It may be a good idea to carry around a xeroxed copy of the appropriate page from your state's criminal code.