I hate many, but the most is We All Fall Down. Many of the levels in L2 are hard, also. There's one in Shadow that I know how to win, but can't pull it off. You have to take a twister down under a pillar of metal, and then back up on the other side, nad that other side is narrow. I keep making passageways that are too steep or the twister falls out from twisting... Oh well.
Hey! I've played that level on the Megadrive, and it's one of my favourite levels from Tribes. My least favourite tribe is cave.
As for original Lemmings, here are my least favourite levels:
All or Nothing (Mayhem 24)
Pea Soup (Mayhem 14)
Hunt the Nessy (Taxing 14)
Livin' on the Edge (Taxing 12)
The Prison (Taxing 5)
Oh No More Lemmings:
Looks a Bit Nippy Out There (Havoc 19)
Lemming Hotel (Wild 2)
Ice Ice Lemming (Crazy 20)
And ALL of the 'Tame' levels, because they are practically impossible to lose!
I just looked through all the levels in Lemmings and Oh No on
http://home.wanadoo.nl/lemmings-solution. Wow! I didn't realise there were so many I didn't like so much!