Thieves' Tools

Thieves' Tools are required for rogues to pick locks in Classic.

Source
This item is sold by shady dealers, poison vendors, and many other goods vendors.

It can also be gotten as a reward from the following quests:
 * Plundering the Plunderers
 * Greed (quest)
 * Alther's Mill (quest)

In retail, these quests continued to reward Thieves' Tools even after the tools lost their use, until the quests themselves were removed in patch 4.0.3a.