I'd like to try my hand at some PC game development.  I keep hearing that python is slow compared to C++.  Is this something I should be worried about?  
I am more familiar with python than C++.  If I'm looking to make some games, should I take the time to learn C++ or just stick with Python?
Many if not most top-end commercial games these days include some kind of scripting engine for game logic. Game logic decisions, for the most part, aren't particularly performance-sensitive in the way that e.g. the rendering engine is.
BTW - I'm not claiming any insider knowledge of game development - this is fairly well known outside the industry. Some games publishers have even allowed users access to the scripting stuff and other tools for games modding - for years.
If you find a game engine that is wrapped to be used in Python, you'll be dealing with the same basic principles. Write the game logic in Python, and you'll probably be fine.
PyGame is basically SDL wrapped for Python, supporting basic 2D games for the most part (though OpenGL can be used for 3D in SDL - not sure for PyGame).
It's a good starting point. You may hit a performance issue with managing your game objects and running your blit loop, since only very basic graphics stuff is handled by SDL, but you should find that it's just fine for most things.
As Ignacio implies - worry about performance problems when you know you have performance problems, not before. Some performance problems are predictable in advance, but if you're not writing the actual game engine in Python, you should be OK - don't fall into the premature optimisation trap, IOW.
How "slow" is python for game development?