Just because people don't act like a Special Forces operative and choose the most optimal solution within microseconds when they are confronted with a problem doesn't make them stupid. It's like listening to D&D players dissect a book and call all the character idiots because they react as people would instead of machines; it's armchair quarterbacking at it's worst. They call writers stupid or lazy when it's really their own blindness as to how drama and tension are built and maintained, and how characters or plot are developed. This is why most D&D players that try to write turn out to be terrible at it. In fact they're worse than terrible at it.
Tumbling the locks? Having TK doesn't magically grant him the knowledge of the combination. Nor does it give him X-ray vision to see how the thing is constructed.
Radiation? Enough radiation to go through a bank vault door would also kill everyone around him, if he's even good enough to generate that much radiation without blowing up again. I'm surprised he had the guts to turn on that power again.
I'm not even sure that Peter knows he can teleport, yet. I don't think he's ever done it; he's never stumbled onto the 'space' part of Hiro's Space/Time Control power. Remember that just because he has a power doesn't mean he knows how it works. He still has at least, what, five or six powers he doesn't even know he has.
Yes, he could phase through but (1) it isn't as cool and (2) he doesn't know what the virus looks like or where it is. I'm not sure he was calm enough to do both himself and Adam anyway but that gets beside the point: appropriate drama and tension almost require that the door be open. So we can have the confrontation that occurs. Remember: characters without the appropriate training, preperation and attitude always doing the correct, perfect thing like they were looking at things in the third person and were removed from time contraints is bad writing.
Peter's come a long way in learning how to use his various powers, but remember that he has a harder road than anyone else does. Sylar's power by it's very nature seems to give him control very, very quickly. Peter has to learn like everyone else has, but he has a lot more to absorb. Also, rememeber that almost everyone's power is governed by their emotional state and Peter seems way more high-strung than most of the others. He's very reactive instead of proactive, and operates on an emotional level rather than an intellectual level most of the time: that's a prime facet of his character and also what keeps him from being an overbalanced ubermensch. That emotional swing lets him use his powers in an instinctual way but half the time when he tries to use them, he fails because he's thinking about it too much. He only really cuts loose when he's scared or when he's pissed off. We saw the same thing with Hiro in Season One but Hiro has grown up more than Peter has. In many ways Peter is still the kid he was in Season One. He's gotten better at that, too, but people don't change overnight and the writer's seem to get that.