I prefer to play Lemmings 2 in dosbox. Then I can hit ctrl+f9 to shut it off immediately.
(if you're using my portable version of lemmings 2 for windows this can cause your last save to be lost though.)
For me the dos version is better. I can open level files in text editors and do things alien to me in the Amiga version. And I'm a dos pc guy since the early 80s.