Yesterday morning at 6:30 a.m., I heard someone shouting.

Either is correct. In the first case, you can drop the "a.m. if you would like and say "Yesterday morning at 6:30...." or even "Yesterday at 6:30 in the morning..." (the last seems slightly more annoyed to me).

If I wanted to make it stronger (to express my annoyance), I might even say "Yesterday at 6:30 in the ******* morning I heard someone shouting.".

In the first sentence, the word morning is redundant--"6:20 a.m." is obviously in the morning. The second sentences is correct.

In most novels, histories and biographies I have read which were written in England or Scotland, times are expressed thus: "6.30" and not with the colon as is used in the United States. That would be the subject of a separate question, however, and you'd want an Englishman or a Scotsman to tell you how times are written there.

Thanks, maxdancona and Setanta.