A filmed performance of Lemmings is available at NetFlix. This is probably the version that was available on DVD from the National Lampoon store on the official website (www.nationallampoon.com) a few years back, and previously on VHS in an ad in the last issue of the magazine (November 1998).
It’s a bit rough in terms of production quality, but it’s pretty cool to see John Belushi, Chevy Chase, and Christopher Guest performing before they were famous. In my opinion, the LP version is much better, if only for the fact that you can hear the audience reaction, which is almost inaudible on the video, making it seem like none of the jokes are working. The sound quality is also better on the LP.
If you’ve got a NetFlix account, now’s your chance. (Thanks to Robert for the tip.)