I bought a nice kit at a gun show one time. It had about 20 tools in it and I could open a number of cars. It had a manual for many cars.
It is not usually illegal to own them, however if you get caught doing something illegal, you will get charged most likely. I had them as a security officer and we had cops working off duty for us. It wasn't a problem. Depends on if you live in a "progressive" area.
However, you probably do not want to use a slim jim on most late model cars due to electronics in the doors. A locksmith or a dealer is your best bet unless you have the right tools.
Mine got stolen when someone stole my vehicle. I lost lots of tools, lighting, comms gear... Still pisses me off.