I like the skill check (Fallout style) tbh. If your skill is really low, you'll break the lock (in the case of lock picking, duh). If it's in mid range you'll just have to try enough times, which you can do, unless you're being shot at. If it's really high, then there you go, open.
I'm not even sure how reloading a save would make a difference, outside of dialogue. Guess it's because I always raise the skills I intend to use.
Also, +1 on the DX way.