I'm going to have to say fact, because they have shown it on the news stations here. I know you can't always believe the news, but they actually showed the Lotto printout.
I heard it on my morning radio with a clip from the actual NY lottery official. Even she said it was really strange, almost beyond belief, but it happened.
I read the same story on the CNN website, so I am assuming it's correct.
A great site to check out the truth or falsity of urban legends is the Urban Legends Reference Pages (http://www.snopes.com/). Click on Current at the top of the home page for recently circulating stories.
I read the NY Times every morning and 911 were yesterday's chosen numbers. Though I really wonder if it was sheer coincidence or if someone programmed the computer to pick those for that one day...