You can kill them in all lemmings games
Heck, you can find dozens of ways to make them perish
But yeah, I love the critters. It was one of those games which got passed around schools. I must admit I never actually played the Lemmings games that much (except for Lemmings 3D) because I often started to get bored of trying again and again on the tougher levels but now that I'm older, levels are a lot easier than back when I was 14.