Okay—it's really easy to get distracted by that whole kissing-a-severed-head thing, but we need to take a step back and figure out what exactly led up to it. These things don't happen by accident (we hope!)
No one person is responsible for how things turned out, but there sure does seem to be a single motivation: desire. Let's look at how things stand at play's end. The main players—Salomé, Herod, and Herodias—have gotten what they wanted. Salomé has kissed Jokanaan's mouth. Herod has seen Salomé dance. Herodias has gotten Jokanaan killed. So, all their wishes have been fulfilled.
That being said, each of 'em suffers as a result of that same fulfillment. Sure, Salomé gets her smooch, but she also gets killed. Herod gets his dance, but he ends up killing the object of his desire as a result—not to mention that he has to kill Jokanaan, a man he respects and fears. If Jokanaan is to be believed, Herodias was already damned, and her glee at seeing him killed isn't going to earn her any brownie points.
Jokanaan, despite being a big part of this sequence, is not tainted by it: he doesn't succumb to lust and dies quietly without struggling. He has already announced the coming of the Messiah; he has already achieved his goals.
Having said all this, we're left to wonder: is this what everyone deserved? Does Salomé need to die because of her passions? Does Herod, a man who married his brother's wife and lusted after his stepdaughter (no prizes for this dude) have the right to judge Salomé?
Wilde gives us some help in this regard: "No man can tell how God worketh," one Jew says, "His ways are very dark. It may be that the things which we call evil are good, and that the things which we call good are evil" (223).
This doesn't really clarify things, but it's definitely something to keep in mind while you ponder the moral of this story…the twisted, twisted moral.