An allegory is a story that uses language to say something beyond the literal: allegory symbolizes a deeper abstract or spiritual truth or moral. The story usually uses a series of symbols to convey the theme. In Shirley Jackson's story, "The Lottery," the author uses several symbols to convey through allegory her ideas about superstition and tradition, as well as about mob mentality.
The rocks that are being collected by the children at the start of the story represent in small way the larger stones that will be thrown at the end of the story. Those stones will kill Tessie as part of a superstition-driven yearly ritual that is done as means to ensure good crops. The old saying, "Lottery in June, corn be heavy soon" is the mantra that keeps this tradition alive. While the people in this town have an inkling that this traditional or ritual is going out of favor in other towns, they keep it alive out of a sense of tradition. The fact that everyone in the town must participate in the eventual stoning is important as it serves to eliminate any one person from being guilty of killing the winner of the lottery. Sharing the guilt makes them all innocent in a way and perpetuates the lottery. Jackson does a great job of illustrating how this method of killing makes it easy for the people to get caught of in the anonymity of the mob.
Two other symbols for the allegory are the old black box and the slips of paper that are used for the lottery. The box is part of the tradition, but it isn't treated with much respect anymore. The slips of paper represent each family, but they also represent the completely random nature of this ritual.
Some other symbols in the story that you could analyze in regards to their connection to the themes are: the names of some of the characters; the "rules" such as men drawing for women; the ironic title of the story. Almost every aspect of this great story is symbolic of something larger, and thus contributes to the allegory.