WOAH!! A easy on the smilies mate!

The original version is a good one to start with. I have played Lemmings 1 (Dos and Windows), Oh-No More Lemmings (Windows version), Lemmings 1 (sega Megadrive version), Lemmings Tribes (Sega Megadrive version), and Lemmings Revolution (only one version of this, I think). Revolution was a lot of fun, and better graphics than the rest.
You might also be interested in LemEdit, which is the level editor where you can create your own levels. (A lot of fun!) On this site and
www.garjen.co.uk you can download many levelpacks from various fans and I have even written a tutorial explaining it's basics and how to use it on
Garjen.
Also, be sure to check out Cheapo! It can only be downloaded, as it's a fan-based game, and there are plenty of level sets and graphics sets by various fans. The gameplay is very similar to Lemmings 1, but much easier and it has better sound and graphics. You can even design your own levels and graphics for it!
Check out this site for loads of downloads:
http://membres.lycos.fr/createmania/lemmings3.html!