Pickpocket is a handy skill that lets you steal stuff the person is carrying.
Each skill level lets you pickpocket riskier targets.
Starting with easy targets, difficult targets and lastly you may pickpocket impossible targets.
You can only pickpocket a person once, so choose the object you want to steal carefully.
Tip: This skill is very useful if you want to skip quest parts that involve getting a specific item from another person. Instead of doing a long quest, you simply pickpocket the desired item from the person.
Delgado in the Harbortown slums teaches pickpocket 1 and 2 after you complete his initial quest.