I think you expect that any module installed for CPython will work with PyPy out of the box. This is not true. The same thing happens when upgrading from CPython 2.6 to CPython 2.7: the modules that you already installed for 2.6 are not automatically available for version 2.7 and must be reinstalled. Similarly, you must reinstall the modules for PyPy.
This suggests that the standard pygame does not work too well with PyPy, but stay tuned; it looks like someone is working on a cffi based pygame version that should work well with PyPy.
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