Look what I've found :o :

Lemmings Adventure Gamebooks

Yeah, these are well known around here (I think one member actualyl got his/her teacher to read one out to the class!). I've got one or two old Mario ones, they're fairly enjoyable, but a little luck based at times.

Finlay has those and showed them to me when we met (I believe he already made a topic about this, in Off-topic, in fact).