Imaging of flux vortices in high quality MgB$_2$ single crystals has been successfully performed in a commercial Field Emission Gun-based Transmission Electron Microscope. In Cryo-Lorentz Microscopy, the sample quality and the vortex lattice can be monitored simultaneously, allowing one to relate microscopically the surface quality and the vortex dynamics. Such a vortex motion ultimately determines the flow resistivity, $rho_{f}$, the knowledge of which is indispensable for practical applications such as superconducting magnets or wires for Magnetic Resonance Imaging. The observed patterns have been analyzed and compared with other studies by Cryo-Lorentz Microscopy or Bitter decoration. We find that the vortex lattice arrangement depends strongly on the surface quality obtained during the specimen preparation, and tends to form an hexagonal Abrikosov lattice at a relatively low magnetic field. Stripes or gossamer-like patterns, recently suggested as potential signatures of an unconventional behavior of MgB$_2$, were not observed.