Where can I find and install the dependencies for pygame?

$ sudo apt-get install python-dev libsdl-image1.2-dev libsdl-mixer1.2-dev libsdl-ttf2.0-dev libsdl1.2-dev libsmpeg-dev python-numpy subversion libportmidi-dev ffmpeg libswscale-dev libavformat-dev libavcodec-dev

Or sorted slightly:

sudo apt-get install \
  python-dev \
  python-numpy \
  subversion \
  ffmpeg \
  libsdl1.2-dev \
  libsdl-image1.2-dev \
  libsdl-mixer1.2-dev \
  libsdl-ttf2.0-dev \
  libavcodec-dev \
  libavformat-dev \
  libportmidi-dev \
  libsmpeg-dev \
  libswscale-dev \

Behold, one of the most useful tools on debian-based dsitros:

apt-get build-dep python-pygame

Installs all the dependences required to build pygame :)

On Fedora:

yum-builddep package_name