In my Midwestern state: "Possession of burglarious tools. Whoever has in personal possession any device or instrumentality intended, designed or adapted for use in breaking into any depository designed for the safekeeping of any valuables or into any building or room, with intent to use such device or instrumentality to break into a depository, building or room, and to steal therefrom, is guilty of a Class I felony". I have a 48" boltcutter, 36" crowbar, 8 ton come-along, highlift jack, hacksaw with both steel and diamond blades in my truck. Any one of which could be construed to be "burglarious" tools, depending on the definition of "intent" and the mood of law enforcement. However all of these have a normal, utilitarian use. A set of lock picks, shims or other locksmithing tools, without being a locksmith would probably get you locked up, at least temporarily and would also get a warrant to go through your home with a fine tooth comb, looking for stolen goods (of course they wouldn't find anything else of interest, would they?). I wouldn't have lockpicking tools in my possession, period.
