dictionary.com says "French pique-nique, probably reduplication of piquer, to pick"
http://www.answers.com/picnic&r=67 says:
picnic, social gathering at which each participant generally brings food to be shared. The Picnic Society was formed in London early in the 19th cent. by a group of fashionable people for purposes of entertainment. Each member was expected to provide a share of the entertainment and of the refreshments, and this idea of mutual sharing or cooperation was fundamental to the original significance of the picnic. Later the word took on the additional meaning of an outdoor pleasure party. The word as now used includes almost every type of informal, outdoor meal or festivity, such as clambake, barbecue, or fish fry. The custom of cooperative dining is ancient; Greek men held symposia where the guests ate and discussed important matters.
The first usage of the word was traced to a 16th century French text, describing a group of people dining in a restaurant who brought their own wine. A theory has it that the word picnic is based on the verb piquer which means 'pick' or 'peck' with the rhyming nique perhaps meaning trifle.
The 1692 edition of Origines de la Langue Françoise de Ménage, which mentions 'piquenique' as being of recent origin, marks the first appearance of the word in print. The word picnic first appeared in English texts in the mid-1700s, and may have entered the English language from this French word or from the German Picknick
Finally, Urban Legends at Snopes debunks this too.
http://www.snopes.com/language/offense/picnic.htmNow, don't get me started on compulsive.