It's too small of a disappointment to actually have any effect on the game, but I hate the way you pick locks. I honestly don't see why they ever changed it from Oblivion.
In Oblivion, you pushed the pins up and applied tension until you hit them all and opened the lock. Then they go and change it for Skyrim (and Fallout 3) to sticking a pick in, and only adjusting the angle.
Not only did Oblivion demonstrate the proper way to pick locks, but it was a much better "mini game".