NORMAL DOORS
Anywhere
You can lock doors anywhere if you have the key, and of course unlock them.
Open doors with custom extra animations [eg, with animated door bolts] play them normally instead of simply slamming shut; then they get locked with the expected "click".
Closed doors are simply locked with a satisfying "click".
If you try to lock/unlock a door for which you don't have the key, the door just activates normally.
Inns & Player Homes
When inside an inn or a player home, you can also lock and unlock doors which don't have a native lock, a basic one will be added by the game.
The latest door locked will also have the surrounding navmeshes cut. This is to avoid that the idling NPCs unlock them... they're all master lockpickers.
Locking another door [in the same location or another one] will move the collision box to it, freeing the previous one.
Unlocking any of those doors will remove the nav-cut.

LOAD DOORS [the ones that move you to another cell]
If you lock an entrance door from the inside, you will actually lock the exterior one; it won't usually show the 'locked' status inside [that's how the game works, there's nothing I can do]. When you exit you find the outside one... locked.
This happens with interior-to-exterior doors [entrance doors], it doesn't seem to happen in interior-to-interior cases [eg., doors to basements.]
Anywhere but Inns and Player Homes
If you have been able to lock an entrance door from the inside, it means that you have the key, no problem in getting back in.
But... inns and player homes are slightly different, see below.
Inns
The load doors in vanilla inns are in an exclusion list and can't be locked.
For mod-added inns, better avoid locking the entrance doors from the inside. If you do it, when you get out you'll find the door locked, unless you remember to 'unlock' it before getting out. You'll have to pick the lock to enter; it's an "easy level" one, but the guards might have something to say.
Of course, you might easily add them to the above-mentioned exclusion list if you know how to do it.
Player Homes
All decent player homes have the entrance door with a "key needed" lock and the player has the key. If you lock it from the inside and exit, you get back using the key. If you misplaced the key, you can't lock the door.
If your home's entrance door doesn't have a native lock, and consequently you don't have the key, better don't lock it from the inside or you'll have to pick the lock to re-enter, unless you remember to 'unlock' it before getting out.


A lot of explanations but it's actually quite simple and intuitive: use it and you get the proper result; if it's not supposed to work in that particular case, all goes on as usual.
Just take care if you decide to lock entrance doors from the inside, it might lead to unpleasant situations if you don't have the key.


How-to
L_SHIFT+E to activate the lock/unlock.
You can change L_SHIFT to another key with the console command set LockDoorGLB to decimalkeycode, or in CK/SSEEdit by changing the value of the global variable LockDoorGLB.

If you need more doors: Doors In Inns -- Inn Room Privacy -- Tavern Room Doors

Note
Possibly not compatible with "Simply Knock SE" -- please read the bug report for details.