All of my Lemmings roadblocks came from the Master System version. There were many levels I had to work on, but the ones that stand out are:
Tricky 19 was my first major roadblock. I was trying to rescue all the lemmings until I realised I could sacrifice one. I cleared the level on my next attempt by utilising the blocker.
Tricky 22 threw me off completely. I eventually solved the level by using builders, but I did not rescue 100% at the time.
Tricky 30 held me for a while because of the time limit.
Taxing 01 was eventually solved by bashing underneath the pillars. It was my dad who came up with the idea.
Taxing 03 stalled me, once again because of the time limit.
Taxing 11 took me ages to sort out. Either i'd leak the lemmings out of my dig pit, or when it came to crunch time, the builder built the wrong way! >.<
Taxing 23 was a hard lesson on the conservation of builders.
Taxing 26 is too hectic. That had me stumped for a long time.
Mayhem 01. I wasn't doing this level properly, and I kept banging the head of my builder.
Mayhem 03 was tough to work out. You know how it is.
Mayhem 19 is more difficult on the Master System because the walls are thicker (especially the second wall). They're kind enough to give you two blockers, but so much can still go wrong.. and for me, it did. Too many times.
Mayhem 26 is also tougher on the Master System, though not as much as level 19. The big problem is most of the walls are too thick for bombing.
Playing the DOS version for the first time, I had to get used to the different physics, and some levels required different strategies (especially Mayhem 20), but other than that, I didn't get too stuck on any of them.