To get the two blinking lights on the space invaders type stages, you must kill the small ones first and then the large ones, in that order. And you also must not let any escape.
There are a couple of them where this is particularly annoying. Especially since the game doesn't specify in any way that this is the correct two blinking lights condition. (it only states to kill all of them, no deaths, which will *NOT* award the two blinking lights!)