I think Tessie's cries at the end of the story also point to a fairly negative aspect of human nature. We often don't try to understand or empathize with another's plight until something similar happens to ourselves. When Tessie claims that what's happening to her isn't fair, that it isn't right, she is right. But, as another commenter has already pointed out, it seems incredibly likely that every other person who has ever been the "winner" of this terrible lottery has felt the same way and said the same things. And I doubt Tessie stepped in to stick up for them when they did. She, like everyone else, seems totally complicit until they draw the wrong slip of paper, and then -- and only then -- do they want others to empathize. Therefore, her scream is significant because it shows how ultimately selfish and self-serving human beings can be: if it doesn't affect us, then we are often content to let injustice slide.
Tessie's final scream in Shirley Jackson's "The Lottery" is actually rather ironic. The lottery in this untitled town has taken place for years and years. According to the rules of the society, the lottery takes place under extremely fair conditions. One person will be stoned every year. The method by which the person is chosen is entirely random and by chance. For Tessie, her scream should be closer to a cry for the ethical treatment of humans. The last part of her statement, "it isn't right" can be taken as that moral and ethical jab that should be occuring. Readers tend to empathize with Tessie because they come from humane societies that would not do something just for a tradition's sake.
She sees that the whole ritual isn't fair or just, but only sees its true character when it is happening to her. No doubt she has participated in the lottery many times over the years but has never questioned its necessity or its fairness before. The others who are stoning her probably pay no attention to her screams, since they have heard the same protests at every such event in the past.