Infiltrate may be better than basic lockpick, the helpfile says it does of course, but I took advanced lockpick too so I'm not certain just how much of an improvement there is. I can definitely say that, even with the bonus you get for infiltrate by having advanced lockpick, there are loads of locks that can be picked with advanced lockpick but not with infiltrate. I'm not sure if it's covert or improved hide, but you can only infiltrate from the shadows if you have the other skill. I had neither and always stepped out. There's more lag on infiltrate too, I really only ever used it to showboat. Maybe if I didn't have advanced lockpick I would have appreciated it more (mechanically, I love show boating). I'm pretty sure there are lots of chests that can be picked but not with basic lockpick.

P.S. - If you decide to study lockpicking skills, let friends and group mates know. People drag lockpicks around to get passed mysterious doors and chests they've stumbled upon.