What makes the conclusion so surprising?

The conclusion of "The Lottery" is so surprising because
the matter-of-fact, objective narrator manipulates the setting and other character
details to make it so.

The word, manipulation, here, is not
a negative.  All art is manipulation.  In this story, the narrator speaks matter-of-
factly about the weather ("The morning of June 27th was clear and sunny, with the fresh
warmth of a full summer day;...); and about the town and the townspeople (the lottery
takes only a mere two hours, and people will be home for lunch, school just let out for
the summer, the boys are playing, the men talk of tractors and taxes, and the women
gossip). 

The matter-of-fact narration contrasts with the
ending of the story, when what the lottery really is, is revealed. 
The reader is set up (again, not a negative) by the narrator.  What is revealed as a
normal day in a normal town filled with normal people, is not any of the above.  That's
how the surprise is created.

Details such as the gathering
of stones that appear harmless enough when first revealed, provide foreshadowing.  In
other words, once the surprise ending does occur, it makes sense because of the
foreshadowing.  The ending is made plausible because of the use of details (like the
gathering of stones) that are included in the story prior to the
ending. 

Foreshadowing is not really the same as a narrator
giving the reader hints.  The word, hints, suggests that the narrator wants the reader
to figure out the ending before the ending occurs.  This, of course, would destroy the
surprise.  Foreshadowing makes sense out of the ending once it does occur. 
 

The speaker in "The Lottery" narrates in a matter-of-fact
manner and objectively, with no interpretation or character thoughts included.  The
horrific ending contrasts with the tone of the story and creates the surprise.  And that
surprise is made legitimate by the foreshadowing.