Ever wonder how the greats, like Paul Gilbert & John Petrucci, pull out those huge scale lick and speed picking runs? I've got you covered. If you haven't yet, you should first check out my old String Skipping lesson. String skipping is a good way to get that right hand in shape.
A quick content note, there are two licks at the end, some exercises, and some advice. It's a short crash course. Just a warning on what your getting into.
Speed picking is fast picking runs, typically made from scales, that use strict picking patterns. They are sometimes referred to as scale licks, but scale licks and speed picking aren't always the same. But more often than not they are. How do you get good at it? Here you go...
Where to start? How about with right hand form. Proper speed picking uses a strict alternate picking pattern, and this is what separates it from similar economy picking runs. This can start to become difficult when you begin to have patterns where you end up with outside picking as well as inside picking included(look into outside and inside picking-they are commonly used by nature, but never concentrated on, which is a shame since each can have special dynamic qualities when properly added in). A good way to work on alternate picking is to do simple chromatic exercises. For example:
E-----------------------------------------1-2-3-4-|
B---------------------------------1-2-3-4---------|
G-------------------------1-2-3-4-----------------|
D-----------------1-2-3-4-------------------------| and back
A---------1-2-3-4---------------------------------|
E-1-2-3-4-----------------------------------------|
Chromatic exercises will help more than anything else. Tremolo picking is also good to work on, but if I had to choose, chromatic all the way. Tremolo picking uses different form, your pick is held close and tight and barely touches the string, and movements are restricted. When picking normal patterns you use wider movements for crossing intervals. Also, for anything, speed picking and the like, I recommend not anchoring your hand so it is freer to move. This is all personal choice though. Do what is comfortable for you.
This is also important for unleashing speed. Absolute comfort. That means a good action, maybe some guitar care products on the neck and fret board. Intonation and a straight neck are also important, so your notes are clear. Your Body position should be as comfortable as possible. A good way to find this is to start in completely proper form and experiment from there. Get comfortable. Also work on being light on the fretting, and get your picking dynamics down solid. Being light and comfortable and smooth and accurate- that's speed.
Now onto the one everyone thinks is most important(it's not), left hand.
To get quick with your left hand you should be light on the strings. This keeps notes pure(pressing hard bends the string, kind of like a classical vibrato's pressure). Also, it will benefit your playing to fret close to the fret wire in front of your finger. This is kind of like reducing the amount of string after the nut, the amount to affect the note. Another important thing is to try to not lift your fingers high when changing frets. Limit your movements to be as small as possible. And lastly, interdependence is important. This is the ability to move a finger by itself. To improve this, try the above chromatic exercise up and down, but when you put a finger down, leave it down, until all four fingers are down. This will be on the fourth fret of each string. When you move up a string, only move the finger you need to. On the A string, 1st fret, your middle, ring, and pinkie will be down on the 2nd, 3rd, and 4th frets of the low E, and your index finger will be on the 1st fret of the A. Do this up and down.
Now, there will be a few major patterns to come up. Some exercises for these patterns are below. I fondly refer to them as:123, 124, 134, 234, 1234, and 135. With notations on fretting(i-index, m-middle, r-ring, p-pinkie) here they are:
123 234 124 134 1234
E-------------|-------------|-------------|-------------|-----------------|
B-------------|-------------|-------------|-------------|-----------------|
G-------------|-------------|-------------|-------------|-----------------|
D-------------|-------------|-------------|-------------|-----------------|
A-------3-4-5-|-------3-4-5-|-------3-4-6-|-------3-5-6-|---------1-2-3-4-|
E-3-4-5-------|-3-4-5-------|-3-4-6-------|-3-5-6-------|-1-2-3-4---------|
i m r i m r m r p m r p i m p i m p i r p i r p i m r p i m r p
135
E-------------|
B-------------|
G-------------|
D-------------|
A-------3-5-7-|
E-3-5-7-------|
i m p i m p _or (the big difference here is what your coming or going into
i r p i r p / we'll talk about that later)These patterns can of course be applied to different areas of the fretboard. This is not six exercises. This is twelve. The reason is because you not only should do these up and back, but you should repeat them. Just to elaborate, up and back would be 12321, but repeating is 123123. These exercises will help. Now, for deciding what fingers to use while in a run, that is dependent on what comes before or after the pattern you are in. Just think about what would be the easiest and fastest way to play it. Now all you really need is obsessive practice. Well here are a two simple licks to start you up. After this, make up your own and look up songs that use speed picking.
E-------5-----------5---5-----------5-6-8-6-5----------|
B-5-6-8---8-6-5-6-8---8---8-6-5-6-8-----------8-6-5----|
G---------------------------------------------------7b-|
D------------------------------------------------------|
A------------------------------------------------------|
E------------------------------------------------------|
E-----------------------------------------------------------------------|
B-------5-7-8-7-5-----------5-7-8-7-5-----------------------------------|
G-5-7-8-----------8-7-5-7-8-----------8-7-5-----7-5---------------------|
D-------------------------------------------7-5-----7-5-----5-----------|
A-------------------------------------------------------7-6---7-6-5-----|
E-------------------------------------------------------------------8-5-|
/ my profile 
