Seconded...
I'll try Google.
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I've searched high and low and can't find any. I've found some of the trailers for PSmisc. Lemmings(which are excellent by the way, I'll give a link that has all of them if anyone's interested) and the cutscenes from SNES Lemmings, but nothing involving Lemmings Chronicles... Has anyone here got a completed version of the game and a video capture program?