City of Mist:
* Door to the "castle"
* The lift to the reaver area requires a key too
Ssra:
* There are 2 doors on the way to the Emp which require lockpicking. First one is right where you would fight your second set of mobs. Second one is at the exit of the room from where the Shissar Assassin spawns.
Paineel:
* The rock going to the Hole zone is locked.
I also read there are a lot in VT ... but I've never been there myself except on a non-Rogue character. That's all I can think of off the top of my head.