On my Lemmings For Windows version, the sky is no limit.
In Mayhem 23 (Going Up), if the Lems walk up the diagonal bars on the right hand side of the level, they walk up and over, and fall into oblivion. But you can use this bug thing to walk over the large section you'd normally have to bash through. Much less annoying. But you can't see the Lems (though they will show up in the overview graph).