pygame installed through homebrew does not work?

Have you checked which python are you running - the system python or the one you installed via homebrew? I suspect the first.

As a test, try running

/usr/local/Cellar/python/2.7.10/bin/python

and typing

>> import pygame

If this works, you can make the brew version the default by using:

brew link python

After installing brew install pygame myself, it spit out this message:

==> python -c import setuptools... --no-user-cfg install --prefix=/usr/local/Cellar/pygame/1.9.2a0 --single-version-externally-managed --record=installed.txt
==> Caveats
Python modules have been installed and Homebrew's site-packages is not
in your Python sys.path, so you will not be able to import the modules
this formula installed. If you plan to develop with these modules,
please run:
  mkdir -p /Users/packrd/Library/Python/2.7/lib/python/site-packages
  echo 'import site; site.addsitedir("/usr/local/lib/python2.7/site-packages")' >> /Users/packrd/Library/Python/2.7/lib/python/site-packages/homebrew.pth

which apparently meant "we installed this, but your python won't be able to use it"

The oddness here appears to be that if you do brew install pygame it doesn't install python, just pygame (for dependencies to use?)

So either follow those directions (as printed on your screen) then it works, or do brew install python and use that python instead (/usr/local/bin/python instead of /usr/bin/python).