Tennessee lock picking laws
As of July 2007 it appears to be a FELONY to merely posses lock picks and related equipment in Tennessee if you are not a registered locksmith. Previously it was a misdemeanor to commit a crime using lockpicking equipment, possession itself was not a crime. The ALOA has an abstract that outlines the changes to Tennessee code. Here is the actual Tennessee code: http://www.state.tn.us/sos/acts/104/pub/pc0885.pdf

Currently locksport groups are investigating ways of mitigating this issue.
This was taken from the public Lexis Nexus database on Tennessee State Code. It pretty much means that it is illegal to use lock picks to commit a crime. Meerly possessing lock picks *should* be ok for locksport purposes. As always, it's best to contact a local lawyer to be certain.

39-14-701. Possession of burglary tools.

A person who possesses any tool, machine or implement with intent to use the same, or allow the same to be used, to commit any burglary, commits a Class A misdemeanor.

[Acts 1989, ch. 591, § 1.]