First run this to install dependencies:

sudo apt-get install mercurial python3-dev python3-numpy \
    libsdl-image1.2-dev libsdl-mixer1.2-dev libsdl-ttf2.0-dev libsmpeg-dev \
    libsdl1.2-dev  libportmidi-dev libswscale-dev libavformat-dev libavcodec-dev libfreetype6-dev

Then download the source for pygame:

First install mercurial if you dont have it installed:

sudo apt-get install mercurial

then:

hg clone https://bitbucket.org/pygame/pygame

Now build and install pygame for Python 3.4:

cd pygame
python3 setup.py build
sudo python3 setup.py install

Additional comments:

The only version of Python3 I had installed was 3.4 if you have other versions 
you might have to be more specific.