If you are going to report a bug regarding an audio problem,
you should note a VERY important thing: pygame handles audio through
SDL, so you need to install the package for the SDL audio plugin of
your choice, choosing in the list 
  libsdl1.2debian-alsa
  libsdl1.2debian-arts
  libsdl1.2debian-esd
  libsdl1.2debian-nas
  libsdl1.2debian-oss
  libsdl1.2debian-pulseaudio
