Why wouldn't you right? You're passing up so much loot if you don't!
But yeah, I'm an obsessive packrat in those games, pick up anything not nailed down/not considered stealing. So you know I write down the locations of any locked stuff beyond my level to go back and get it later, even if it's just a lunchbox or some shit lol.
IDK about bethesda rpgs but I always take a couple points in hacking/lockpicking in SS2/Bioshock/Prey. It's just too good for kickstarting a run with some resources.