I tried to install pygame via pip but this fails. Based on my google searches, it sounds like easy_install also fails.
I also checked out: http://www.pygame.org/wik
See the answer from this question: PyGame in a virtualenv on OS X with brew?
Essentially, the PyGame in PyPy hasn't been updated for a while. The version in the repository has updated build scripts that handle Pythonbrew, virtualenv and other utilities.
The pip command to use is:
pip install hg+http://bitbucket.org/pygame/pygame