Just curious.
I found Fun 11 quite difficult, then Fun 23.
I got stumped on Tricky 10 for a while, because I was too stupid to realise there was a second exit. <--- Epitome of stupidity
I then got stuck on Tricky 14, because I always ran out of time because I was paranoid that the lemmings might splat if I built over the gap. Tricky 28 was really irritating, then I almost died when I realised that the exit was only about three feet from the entrance.
Taxing 5 was another difficult level, mainly because back then I wasn't aware of Lemmini's existance and I used Lemms created by Geoffery Storey, and the engine is really awkward; lemmings would only bash through one bar at a time, and it doesn't have the left-right select tool.
Other ones were Mayhem 5, 11, 12, 19 and 29
Some of my biggest stumbling points the first time I played:
Tricky 19
Tricky 23
Taxing 3
Taxing 7
Taxing 11
Taxing 23
Taxing 28
Mayhem 3
Mayhem 19
Mayhem 23 (not quite sure why)
But the biggest of all was Mayhem 29, which I didn't complete until many years after I'd completed everything else in the first game.
Tricky 19 - I never knew the intended solution until joining these forums years afterwards. I originally did it with the no-miner method, which is much harder to pull off.
Taxing 6 - Very nice trick, it took me a long time to figure out that this was possible. I remember how happy I was when I solved it

Taxing 11 - Stuck here for about a year, I never thought of using just a digger to hold the crowd, and instead I did some complicated stuff with miners and diggers.
Mayhem 14 - I first played the black-and-white Mac version, where this level is virtually impossible as you can't see the "peas".
Mayhem 26 - This level is extremely difficult on the Mac as you can only lose 8 lemmings, and three of the "stalks" in the terrain hold back the lemmings where they can simply walk through on the DOS and other versions, so most routes would seem to need
more bombers! I was stuck on this level for ten of the twelve years it took me to finish the game.
Ah yes, I remember this. Similar to the old but cooler name "share your roadblocks" topic.
For me, I was stumped for a while on Fun 13 and Tricky 2, then Tricky 7. I had no problems with Fun 11 or Tricky 19. Tricky 10 was fairly hard which took me a few days to solve, and then how about Tricky 23 - That was quite hard trying not to lose too many of those lemmings. Taxing 1 I was also stuck on for a while. Quite a lot of difficult levels in the Taxing rating back then, apart from 2, 5 and 7.
That one with the single speedy lemming!
Ah yes, I always remember that one too. I could never get past the last part of the level either.
As for the rest of ONML:
Crazy 7: I could never get the basher in the right place, which made this level very annoying thanks to the steel placement.
Wild 3: Could never get the lemmings down to the platform. The lack of bombers made this level even more difficult.
Havoc 3: I had no idea how to control the lemmings without using a blocker. I thought the three bashers were used for getting past the pipes, not realising that there's a large wall still to cross. Would've made a nice elegant solution with the other lemmings going cross country and back.
For Holiday:
Frost 10: Was stuck on this one because of the strict time limit.

Flurry 8 (DOS): Definitely in the wrong place. Going straight for 100% and limited skills (not to mention a limited time limit) made this the common stump point.

I wonder which version of Holiday 93 was made first?
My first huge roadblock was Postcard from Lemmingland. Then I was also stuck on From the Boundry Line which, ironically, is similar.
Lost Something I had an easy time with, I figured pretty quickly where the exit was for some reason.
as for ONML; I assume like many other people I started playing Tame, got bored pretty quickly then tried Crazy. I beat the first level somewhat quickly but was stumped on Dolly Dimple. I had WinLems at the time so I used the "cheat" feature to skip levels and I did not solve most of the levels in the whole game after looking at them quickly.
Actually I think the (Postcard from Lemmingland) seemed to stomp a lot of the PSP players, I remember going on the forum on gamespot and there was a discussion just based on that level alone. A lot of people were saying help me please.
I remember being stuck on Taxing level 3 for a long time, trying to save the lemmings just in time was hard.
In my younger days fun 5 I found difficult and I found fun 9 hard as well.
Actually I think the (Postcard from Lemmingland) seemed to stomp a lot of the PSP players, I remember going on the forum on gamespot and there was a discussion just based on that level alone. A lot of people were saying help me please.
I remember being stuck on Taxing level 3 for a long time, trying to save the lemmings just in time was hard.
In my younger days fun 5 I found difficult and I found fun 9 hard as well.
ooh, could I have a link to this forum/threads?
The only one I remember finding problematic back in the day was the Game Gear (and, consequently, Master System, since the two versions are closely related) version of Easy When You Know How... When I figured out the solution, I laughed to myself, finding the title accurate. What you ultimately need to do is bash through the floor at the bottom, so that the presses don't trigger and squash the lemmings.
Ironically, I learned many years later that this is not the solution used in any other version of the game. Easy when you know how, indeed - turns out that you don't know how when you play it in any other version.
Hi Mobius
I tried looking back on gamespot but I don't think it seems to be there anymore, Unless you need to actually log into your account to access the forum but to be honest I think the discussions on the forum have been deleted when gamespot got a new design, new look. Wow lemmings for the PSP goes back to 2006 that's a long time ago now.
That's one of the big reasons I got a Psp was to play lemmings.
GameFAQs and GameSpot had combined boards at one time. When they split, GameFAQs kept them, so you might find it on there.
It's a little too long ago for me to remember clearly. I'm pretty sure the first levels that gave me some trouble are the timed bomber ones, not because it's hard to figure out the solution but obviously it takes some tries to execute it successfully. Tricky 16 for example.
Although I don't remember too much difficulty with it myself, it makes sense that Tricky 19 is the first level that tends to stump new players. The closest analog may be Fun 11 in that it's also a level where instead of trailblazing the path to the exit in a purely forward fashion, you need to turn a lemming around and blaze part of the path "backwards". But of course with Tricky 19 you don't have blockers and need to be efficient with your skill usage as well. So yeah, definitely a step up from the previous levels in terms of thinking. (Yes, Tricky 19 technically has a "fully forward" solution, but IIRC that has its own complexities even more so than the "intended" solutions.)
I vaguely remember Mayhem 5 taking a while. If I recall I didn't realize at first that blockers can turn builders, so I keep trying to set the blocker as close to the edge as possible and start building from as close to the blocker as possible (but facing the expected direction). I don't remember how successful that turned out, but I do remember eventually a "mistake" in trying to execute the aforementioned that led to the relevation that the builder can get turned around by the blocker, and then it becomes obvious what to do.
Mayhem 29's ending stumped me, in fact I don't remember for sure whether I figured it out on my own eventually or whether I wound up peeking at a walkthrough online or something. In hindsight I'm not sure why I didn't see it sooner, given that in some ways it sort of follows the same theme as what you did at the start of the level.
The only one I remember finding problematic back in the day was the Game Gear (and, consequently, Master System, since the two versions are closely related) version of Easy When You Know How... When I figured out the solution, I laughed to myself, finding the title accurate. What you ultimately need to do is bash through the floor at the bottom, so that the presses don't trigger and squash the lemmings.
Ironically, I learned many years later that this is not the solution used in any other version of the game. Easy when you know how, indeed - turns out that you don't know how when you play it in any other version. 
I'll have to take a look at that one of these days. So you're saying in that version, Easy When You Know How isn't just a 20-of-every-skill level that's typical of Fun?

Really curious why the straightforward solutions in "normal" versions of the game doesn't work there.
It doesnt give floaters; apart from that it is a 20 of all. However, its also possible to dig and bash along the bottom.
Fun 14 also doesnt give floaters.
On the other hand, Tricky 19 is a lot easier here, as you also get a blocker and a bomber, and only need 95% (19 of 20 lemmings). Which is strange, as both of the "common" 100% solutions from DOS/Amiga still work.
The first level I remember being difficult for me was Keep Your Hair on Mr. Lemming...That was a long time ago... Not sure about the other ones, really.
The only one I remember finding problematic back in the day was the Game Gear (and, consequently, Master System, since the two versions are closely related) version of Easy When You Know How... When I figured out the solution, I laughed to myself, finding the title accurate. What you ultimately need to do is bash through the floor at the bottom, so that the presses don't trigger and squash the lemmings.
Ironically, I learned many years later that this is not the solution used in any other version of the game. Easy when you know how, indeed - turns out that you don't know how when you play it in any other version. 
I'll have to take a look at that one of these days. So you're saying in that version, Easy When You Know How isn't just a 20-of-every-skill level that's typical of Fun?
Really curious why the straightforward solutions in "normal" versions of the game doesn't work there.
They might very well work, but the easiest solution, and the one I always assumed to be the intended one for that particular pair of conversions because it really is easy when you know how, is the one that I described.
I just found it amusing how that one level that stumped me back in the day inadvertently ended up stumping me twice as a result of that.
When I was a kid in the '90s, my dad and I were both progressing through the game at our own separate paces. He was always about a rating ahead of me, so if I ever got stuck, I could go to him for help.

There were a few exceptions to this, though. One of my dad's first major roadblocks was Taxing 11. I don't think he ever beat that one, because I took a look at it one day while he was at work, and beat it quite easily! I still had Tricky 7 fresh on my mind at the time, and the only significant difference was that the standard 2-blocker crowd control wasn't an option on Taxing 11. It didn't take me long to realize that a digger pit was the only way to keep the crowd from going over the edge, and once that obstacle was taken care of, the rest of the level could be beaten the same way as Tricky 7.
A few other ones we struggled with were Tricky 19, Taxing 4, Mayhem 7, and Mayhem 28. Taxing 4 was unique in that my dad and I each came up with completely different solutions. He went up the traps route it took him a number of tries before he saved enough to pass the level. I, despising traps in general, discovered the outside route, avoiding the traps altogether.
Mayhem 29. Oh gods, Mayhem 29.
Not too hard to figure out, but incredibly difficult execution. the ending part was pure evil. one pixel precision multiple times in a row. Of course Lemmix makes it much easier. I had to cheat past that one on DOS back in the day. I could never get that perfectly timed click twice in a row.
Ah yes, I remember that one too whilst trying to solve every level. May I also mention that there's a lot of walking during the middle part of the level, and right at the end, you mentioned a lot of pixel precision, but it's even more evil than this: I tried using a blocker on that middle platform without realising to my shock horror that the lemmings would get past it and fall to their deaths. It's one level that I didn't want to see again back then...
Another annoying precision level that I forgot to mention is Mayhem 20. That second miner to rescue the lemming below really just takes a lot of luck. At least it's quite a short level.