My all-time favorite Lemmings tracks are the remixes of the classic Lemmings tunes on the Lemmings Chronicles / All New World of Lemmings CD.
I gotta go with these too. If only the Egypt and Shadow ones were this good
Thirded. I think I listened to the ripped music of the Classic tunes longer than I actually played the game.
Though I actually like a lot of the Lemmings music.
SNES Space Tribe (note that this is totally different from the usual "2001" theme in the other ports)
Amiga Sports Tribe
Genesis "Doggie" theme (unlike the version in other ports that tend to sound weird or gimmicky--in fact you might not even recognize it as "Doggie" right away on this version)
(I didn't know that Strauss' 'By the Beautiful Blue Danube' was the theme to 2001: A Space Odyssey which I only know from its name; I guess that's why this theme got chosen for the space tribe then.)
Anyway, these are some I totally agree with, and I'd also add the DOS version of Cavelems, the SNES version of Sports (especially the middle part) and the ending tune (Amiga, Genesis).
The DOS versions of Medieval, Classic and Outdoor are pretty catchy as well.
In original Lemmings my favourite original composition is Tim1, followed by Tim3, Tim2 and Lemming2. Of the borrowed tracks I like the classical tunes most (Tim6-Tim8), especially Rondo alla Turca.
I got some recordings from the Roland sound chip I think, and Tim10 (Forest Green is it called?) stands out there.
(And I still think the ONML soundtrack is a bit underrated, I especially like tune5 & 6).
Don't know about Lemmings 3D as I never really played it, but the Lemmings Revolution soundtrack is pretty neat as well. My favourite tune is the one located at 0xa95e1d (according to the filename) in the .box there.