They won it in 92 and 93. 92 they sucked pretty bad and got Shaq, then just missed the playoffs the very next season and got it again, drafting Webber whom they promptly traded for Penny Hardaway.
I'm surprised Cleveland didn't "win" the lottery again this year.
Looking back:
1985: New York (Ewing)
1986: Cleveland (Daugherty)
1987: San Antonio (Robinson)
1988: LA Clippers (Manning)
1989: Sacramento (Pervis Ellison)
1990: New Jersey (Coleman)
1991: Charlotte (LJ)
1992: Orlando (Shaq)
1993: Orlando (Webber)
1994: Milwaukee (Glenn Robinson)
1995: Golden State (Joe Smith)
1996: Philadelphia (Iverson)
1997: San Antonio (Duncan)
1998: LA Clippers (Olowokandi)
1999: Chicago (Brand)
2000: New Jersey (Martin)
2001: Washington (Kwame Brown)
2002: Houston (Yao)
2003: Cleveland (LeBron)
2004: Orlando (probably either Okafor or Howard)
So, Orlando won 3 times, Cleveland, the Clippers, NJ and SA all twice.