Here (OSX Mavericks) I got able to install this way:
brew install sdl sdl_image sdl_mixer sdl_ttf portmidi
pip install https://bitbucket.org/pygame/pygame/get/default.tar.gz
(“default” branch is on commit e3ae850 right now)
Source: https://bitbucket.org/pygame/pygame/issue/139/sdlh-not-found-even-thought-it-exists#comment-3822470
See this other StackOverflow question too: PyGame in a virtualenv on OS X with brew?