Probably the biggest frustration is finding out what village your people came FROM in Lithuania...assuming you know their real surname, of course. How do you go about figuring it out if there's no one left to ask? What strategies, resources, etc. do you use? Share a nightmare, or a success story!

Most important to remember are the occupations...the Germans, Russians. From 1795 to 1918, Lithuania didn't exist. Whatever town you're looking for probably had a name in: Russian, German, Lithuanian and Polish. You must keep an open mind and do the research to find your village....remember, if you even HAVE a village name, you are well ahead of most of us and subject to our envy!  Looking at the old maps with the border changes, name changes, etc., might be helpful.  Take a few minutes to get the gist of the Partitions from the 1700s-1900s.

One site to try is Falling Rain.
Better than that, I think, is the Excel database in the Files section of the Yahoo group for Lithuanian Genealogy: You'll have to get a yahoo ID and join, but honestly, if you haven't...what's wrong with you? http://groups.yahoo.com/group/LithuanianGenealogy/files/
SGKP-Lithuania is a site dedicated to translating entries from the Polish XIXc gazetteer describing localities in modern-day Lithuania.

Working Backwards
Let's assume you know what name you're looking for. The next obstacle is the timeframe during which your ancestor immigrated. The later they came, the better your chances. Here are just a few things that I do:
1. Go to the Lithuanian Internet Phone directory Zebra (see link on main page). Type in the first few letters of the name to see how many hits you get. Is it a common name? relatively rare?
2. I group the results from #1 by location. Are there 'hotspots' in certain regions of Lithuania for the name?
3. I search the heck out of Ancestry.com and just plain ole Google searches. Think outside the box. There might not be info for your direct ancestor, but his or her cousin who came over later might have a passport application, naturalization papers, etc. that might give clues to the old home village. Later immigration records to the USA often give home villages instead of just "Russia" or "Kowno (Kaunas)" or the ever popular "Suwalki" (which could be most of southern Lithuania and parts of Poland). The locations will be horrifically mis-spelled. I use an Excel database that I downloaded from the LithGen yahoo group which has a ton of spellings for a zillion towns and villages in Lithuania. Remember that at various times, a village might have had a Lithuanian spelling, a German spelling, a Polish spelling or a Russian spelling...or all of the above. And they might not look anything alike to each other.
4. Using the results from the Zebra internet phone directory, I write letters...in English, explaining who I am and the family I'm looking for. Give basic info, name, birth, when they immigrated, who they married...but don't overdo it. ALWAYS include your email address. Your letter might get passed off to a younger relative who understands some English and who has email access. I ask them how much they know about their family history. And do they remember a so-and-so going to America, England, etc. I know many people have found this incredibly successful.
5. If you're willing to accept the headaches of social networking sites, #4 can also be attempted on Facebook, Frype, Orkut and a smattering of other sites. You may be using Google Translator constantly to figure out what the websites say if you don't speak the languages, but it may be worth it.