<p>Here is a sample script to compile a pygame app to a standalone windows application.  It includes a hack to include pygame default font into executable file.</p>
<p>Just edit value in BuildExe.__init__ to fit you needs.  This will only work for GUI apps, change "windows ="  to "console =" in setup command would do the job.</p>
<p>To have a zipfile with libraries, just specify a zip file name.  If you don't specify an icon file name, pygame icon will be used.</p>
<p><i>Changes by arit:</i><br />
For this script to work I *had* to modify my font call in my game from
Font = pygame.font.SysFont(None,16) # the created .exe does not run
to
Font = pygame.font.Font("freesansbold.ttf", 16)

and additionally copy freesansbold.ttf into the same directory as the created .exe

I also needed to add sdl_ttf.dll to the check for include files (see comment in source code bellow)
(This has been suggested by http://stackoverflow.com/questions/6376194/font-module-error-when-using-py2exe)
Then I saved the script bellow as game2exe.py in the same directory as my MyApps.py file.
From the command promt inside this very directory I then executed the script by writing
python game2exe.py

Then I had to manually copy freesansbold.ttf into the subfolder "dist" where the MyApps.exe is created.

Windows7 64bit Enterprise, Python 2.7.2, pygame-1.9.2a0.win32-py2.7</p>
<code>
# This will create a dist directory containing the executable file, all the data
# directories. All Libraries will be bundled in executable file.
#
# Run the build process by entering 'pygame2exe.py' or
# 'python pygame2exe.py' in a console prompt.
#
# To build exe, python, pygame, and py2exe have to be installed. After
# building exe none of this libraries are needed.
#Please Note have a backup file in a different directory as if it crashes you 
#will loose it all!(I lost 6 months of work because I did not do this)


try:
    from distutils.core import setup
    import py2exe, pygame
    from modulefinder import Module
    import glob, fnmatch
    import sys, os, shutil
    import operator
except ImportError, message:
    raise SystemExit,  "Unable to load module. %s" % message

#hack which fixes the pygame mixer and pygame font
origIsSystemDLL = py2exe.build_exe.isSystemDLL # save the orginal before we edit it
def isSystemDLL(pathname):
    # checks if the freetype and ogg dll files are being included
    if os.path.basename(pathname).lower() in ("libfreetype-6.dll", "libogg-0.dll","sdl_ttf.dll"): # "sdl_ttf.dll" added by arit.
            return 0
    return origIsSystemDLL(pathname) # return the orginal function
py2exe.build_exe.isSystemDLL = isSystemDLL # override the default function with this one

class pygame2exe(py2exe.build_exe.py2exe): #This hack make sure that pygame default font is copied: no need to modify code for specifying default font
    def copy_extensions(self, extensions):
        #Get pygame default font
        pygamedir = os.path.split(pygame.base.__file__)[0]
        pygame_default_font = os.path.join(pygamedir, pygame.font.get_default_font())

        #Add font to list of extension to be copied
        extensions.append(Module("pygame.font", pygame_default_font))
        py2exe.build_exe.py2exe.copy_extensions(self, extensions)

class BuildExe:
    def __init__(self):
        #Name of starting .py
        self.script = "MyApps.py"

        #Name of program
        self.project_name = "MyApps"

        #Project url
        self.project_url = "about:none"

        #Version of program
        self.project_version = "0.0"

        #License of the program
        self.license = "MyApps License"

        #Auhor of program
        self.author_name = "Me"
        self.author_email = "example@example.com"
        self.copyright = "Copyright (c) 2009 Me."

        #Description
        self.project_description = "MyApps Description"

        #Icon file (None will use pygame default icon)
        self.icon_file = None

        #Extra files/dirs copied to game
        self.extra_datas = []

        #Extra/excludes python modules
        self.extra_modules = []
        self.exclude_modules = []
        
        #DLL Excludes
        self.exclude_dll = ['']
        #python scripts (strings) to be included, seperated by a comma
        self.extra_scripts = []

        #Zip file name (None will bundle files in exe instead of zip file)
        self.zipfile_name = None

        #Dist directory
        self.dist_dir ='dist'

    ## Code from DistUtils tutorial at http://wiki.python.org/moin/Distutils/Tutorial
    ## Originally borrowed from wxPython's setup and config files
    def opj(self, *args):
        path = os.path.join(*args)
        return os.path.normpath(path)

    def find_data_files(self, srcdir, *wildcards, **kw):
        # get a list of all files under the srcdir matching wildcards,
        # returned in a format to be used for install_data
        def walk_helper(arg, dirname, files):
            if '.svn' in dirname:
                return
            names = []
            lst, wildcards = arg
            for wc in wildcards:
                wc_name = self.opj(dirname, wc)
                for f in files:
                    filename = self.opj(dirname, f)

                    if fnmatch.fnmatch(filename, wc_name) and not os.path.isdir(filename):
                        names.append(filename)
            if names:
                lst.append( (dirname, names ) )

        file_list = []
        recursive = kw.get('recursive', True)
        if recursive:
            os.path.walk(srcdir, walk_helper, (file_list, wildcards))
        else:
            walk_helper((file_list, wildcards),
                        srcdir,
                        [os.path.basename(f) for f in glob.glob(self.opj(srcdir, '*'))])
        return file_list

    def run(self):
        if os.path.isdir(self.dist_dir): #Erase previous destination dir
            shutil.rmtree(self.dist_dir)
        
        #Use the default pygame icon, if none given
        if self.icon_file == None:
            path = os.path.split(pygame.__file__)[0]
            self.icon_file = os.path.join(path, 'pygame.ico')

        #List all data files to add
        extra_datas = []
        for data in self.extra_datas:
            if os.path.isdir(data):
                extra_datas.extend(self.find_data_files(data, '*'))
            else:
                extra_datas.append(('.', [data]))
        
        setup(
            cmdclass = {'py2exe': pygame2exe},
            version = self.project_version,
            description = self.project_description,
            name = self.project_name,
            url = self.project_url,
            author = self.author_name,
            author_email = self.author_email,
            license = self.license,

            # targets to build
            windows = [{
                'script': self.script,
                'icon_resources': [(0, self.icon_file)],
                'copyright': self.copyright
            }],
            options = {'py2exe': {'optimize': 2, 'bundle_files': 1, 'compressed': True, \
                                  'excludes': self.exclude_modules, 'packages': self.extra_modules, \
                                  'dll_excludes': self.exclude_dll,
                                  'includes': self.extra_scripts} },
            zipfile = self.zipfile_name,
            data_files = extra_datas,
            dist_dir = self.dist_dir
            )
        
        if os.path.isdir('build'): #Clean up build dir
            shutil.rmtree('build')

if __name__ == '__main__':
    if operator.lt(len(sys.argv), 2):
        sys.argv.append('py2exe')
    BuildExe().run() #Run generation
    raw_input("Press any key to continue") #Pause to let user see that things ends
</code>