Using electronegativity and atomic size to compare acidity of cysteine with serine
You are correct that Oxygen is more electronegative than Sulfur.  However, the relative size of the atoms affects more than their ability to carry charge.  In this case, the larger radius of the Sulfur atom actually causes the H-S bond in Cysteine to be longer than the H-O bond in Serine.  The longer bond is weaker and, thus, more easy to break, making Cysteine easier to deprotenate.