A few random notes and tips that I've been accumulating and forgetting to mention:
* I've found that you can still unlock chests that are "too difficult" for you. I originally didn't even bother when I saw that message, but I eventually tried once and, after repeated failures, was able to unlock it. Now, my lockpicking is so high that, even though I still get the message on some "Very Hard" chests, I'm usually able to unlock them on the first try. The point is that the "too difficult" message doesn't really mean what it says (unless, say, you're a beginner and you're trying a Very Hard, in which case it might actually be impossible), so don't necessarily give up when you see it.
* At some point during the mid game, stop by the stable lady at the horse farm in Neuhof. She'll give you a quest that, once you complete it, will double your horse's weight limit (and, if you have 1-1.8k groschen, can also upgrade your horse to double it once again). I wish that I'd revisited Neuhof much sooner than now.
* Oh, also, in the courtyard of the horse farm are two doors on one side. Behind one is a "Very Hard" chest that is just loaded with at least 10k worth of expensive bridles, saddles, spurs and horseshoes. Good luck selling them all, but you can use the best ones to get top speed out of your (new) horse. I wasn't even using any spurs or horseshoes at all before, since I'd never seen those anywhere in the world except in the inventories of stablemasters.
* Knocking people out (with the earliest Stealth perk) from a crouch and looting them at your leisure is so much easier than pickpocketing items one at a time and running the risk of being caught. Honestly, pickpocketing seems pretty useless to me. Actually, I suppose that it may be more useful against armed NPCs, which tend to resist being knocked out and turn on you to fight. Pickpocketing them might work a lot better. If the NPCs are unarmed villagers, though, simply knock them out and go to town. In fact, I know that I've completed at least one pickpocketing quest that way. The game apparently doesn't check whether you actually pickpocketed the item. It just counts that you added it to your inventory, even if it was by looting.