Using the pygame default font in py2exe doesn't work for some reason. You'll have to include the file in your distribution yourself and use pygame.font.Font(). Also remember to include all your data files in the distr folder py2exe makes too.
Ian
I heard about that, so before I posted I copied the ttf file into a subdirectory relative my main.py script. ( its in ./data/ttf/freesandsbold.ttf )
And code: self.font_path = os.path.join('.', 'data','ttf','freesansbold.ttf')
self.font = pygame.font.Font(self.font_path, 18)