Pygame 1.9 is known to work with python versions 2.4, 2.5, 2.6, and 3.1.

• Python 2.4: This version is pretty old, and you should probably not use it unless there is some special reason why you can't upgrade. Python 2.4 is also missing some nice new features and performance improvements that are available in 2.5 and 2.6.
  
  
• Python 2.5: This version is well-tested, and is a good choice on Windows. Python 2.5 is compiled with an older MSVC++ runtime library dll, which might be an advantage if you want to run your game on old windows versions (98? ME? XP without service packs?) without needing to distribute the dll files. You might also choose python 2.5 if some other python library you plan on using requires it.
  
  
• Python 2.6: This version is well-tested, and is a good choice on Windows. Unless you already know of a special need for using python 2.5 or python 3.1, you should probably pick 2.6.
  
  
• Python 3.1: Although this version is the latest and greatest, it makes some non-backwards-compatible changes compared to the 2.x series. It works with pygame, but has not had as much testing as 2.5 and 2.6.