I've run into a rather annoying glitch a few times that's worth mentioning:
Sometimes when a lemming uses a cannon, the cannon goes off before the lemming gets all the way inside, and he gets stuck in there until another lemming comes and uses the cannon. Then both lemmings are launched together.
I find the glitch to be extremely annoying because you can end up with two lemmings stuck together when you think there's only one. Or worse yet, if the last lemming to use the cannon gets stuck, you can be left with no way to save him.
The glitch has a tendency to happen if the game is paused after a lemming lights the fuse, but before he climbs in the cannon.