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
I had good luck with macports:
sudo port install python26. I typed in the command it said at the end to set it as my default python installation. If you don't, then in step 4 you'll have to run the app a different way.sudo port install py26-gamepython main.py