What is the underlying message of "A Good Man is Hard to Find"?

The underlying message of this story can be summed up in the Misfit's final comment about the grandmother—"She would of been a good woman...if it had been somebody there to shoot her every minute of her life." All in all, the tone of the story is pessimistic in its outlook on human nature. The grandmother is a selfish woman who, throughout the story, seems to care little for anything other than her own desires. Only when she is begging for her life, and the Misfit is speaking to her of Jesus, is she overcome with compassion for him, appealing to her as if he were "one of my own children."
There are two ways to interpret the grandmother's behavior here, but neither reflects particularly well upon her character. In one interpretation, the fear of her impending death and the discussion of Jesus fills her with genuine awareness of God and forces her to appeal to the Misfit based upon this sudden rush of compassion. In this interpretation, her human feeling is genuine, but it has taken her being in extremis to actually connect with it. The other, more pessimistic interpretation would be that, in keeping with the grandmother's behavior to this point, her appeal to the Misfit is actually a calculated attempt to curry favor and sympathy with him—so she is using his reverie on the works of Jesus to save her own life. In this interpretation, she is performatively, but not genuinely, a good woman when held at gunpoint.
Effectively, then, the moral of this story seems to be that only when we are in fear for our lives do we genuinely confront our own humanity. The grandmother could have been a good woman, the Misfit says, if she had been continually held, throughout her life, in the state of self-awareness and fear for her own life that she was in at the moment before her death. Without the tension of a moment like this, her primary concern is simply with herself and her own desires.