For me (on Windows 7, Python 2.7, PyGame 1.9) I actually have to remove the pygame.init() call to make it work or if the pygame.init() stays to create at least a screen in pygame.
My example:
import time, sys
from pygame import mixer
# pygame.init()
mixer.init()
sound = mixer.Sound(sys.argv[1])
sound.play()
time.sleep(5)