To make pyglet available to all users, or to avoid having to set the PYTHONPATH for each session, you can install it into your Python's site-packages directory.
From a command prompt on Windows, change into the extracted pyglet source archive directory and type:
python setup.py install
On Mac OS X and Linux you will need to do the above as a priveleged user; for example using sudo:
sudo python setup.py install
Once installed you should be able to import pyglet from any terminal without setting the PYTHONPATH.