Connotation is the meaning associated with a word or phrase that goes beyond the literal or denotative meaning. Shirley Jackson uses connotation in several ways in her classic short story.
One of these is ironic. Technically, a lottery is just a random drawing. It could be good or bad. Most often, though, a lottery is held for some kind of prize, and so it carries a positive meaning. In this case, since the "winner" gets stoned, the meaning is very negative.
A second example of connotation is also ironic. Mr. Summers, who runs the lottery, has a name associated with warmth and pleasure. Likewise, the June setting is associated with warmth and pleasure. The lottery, of course, is neither warm or pleasant.
A major non-ironic example of connotation is the box used for the lottery. The box is black, a color associated with death and mourning. This foreshadows the deaths the lottery will bring, and is associated with the black dot on the paper Mrs. Hutchinson opens.
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