This rumor was probably started in the early 19th Century. Scientists would see sudden bursts of the lemming population that would just as suddenly shrink, and they couldn't figure out why. In 1908 a man named Arthur Mee decided that "mass suicide" seemed as good an answer as any and published it in his The Children's Encyclopedia.
Link
From the Upcoming ueue, submitted by lifeinrealtime.
In fact there are a bunch of other animals who do change their color to blend in with their environment like certain species of octopus.
While everything else on their list seems to check out, I am surprised that cracked.com didn't even bother to do the most basic of research on their number one pick.
@baro:
I think that picture is from the movie "Dude Where's my Car?".