How does that work with the GPL, though? I still don't fully understand the thing, but it seems like you're obligated, if you make a Pygame game, to distribute it in such a way that people can try plugging in a new version of Pygame. I don't necessarily want to make all of my code public, so I'm uneasy about the licensing.
pygame is LGPL, so dynamic linking is sufficient to meet the condition of letting people plug in a new version. So it seems to me that to use the single file mode of pyinstaller and meet the LGPL license terms you'd have to either distribute your source code in some fashion. However if you used the single directory mode of pyinstaller, than you'd be good.