You can buy them from Shady Sam, he is north of the stables outside of the imperial city along the wall. He is there day and night,
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u have to join a theifs clan and u can buy lock picks
many traders will sell some lesser effect scrolls, the mages guild is free to join and will provide you with many spells and scrolls and when you enter an oblivion gate many deadra will drop useful scrolls
Not 100% sure about general merchants but I know that all Thieves Guild members sell them. Just join the thieves guild.
You can't. The shops do not sell anything above the third tier of quality. All the better equipment has to be found, stolen, received as a quest reward, or taken from slain enemies.
The GOTY edition is available on Steam.