The pygame package in fink, pygame-py24, doesn't work? I can't really test it because I don't use fink and I don't want to mess around with how I have things set up right now.
If you're trying to build it on a Leopard machine, pyobjc might give you problems. I'm gonna check how I got pyobjc installed on my machine. It's been a while since I had to install it.
Edit:
I might be way off here but this is worth a shot. You may need to install pyobjc 1.4 to get pygame to work on either a tiger or leopard machine. I don't think pyobjc 1.4 can be compiled on a leopard machine. It will work if compiled on a tiger machine and installed in leopard though. I found a precompiled version of pyobjc here: http://pythonmac.org/packages/py24-fat/dmg/pyobjc-1.4-python2.4-macosx10.4.dmg.
I don't know if the pkg installer will install it in the correct location so I extracted the necessary files and posted them here: http://www.mediafire.com/?m0djx5dmqyj
You just need to take the PyObjC folder and PyObjC.pth and put them in your python site-packages directory.
Then you can try to see if pygame works.