IMHO, Lido Shuffle is by far the most difficult of his shuffles to get right. It took me hours to get the proper coordination down and several more to actually make it feel somewhat good. Jeff, of course, developed this groove when he was only 21 or so and played it with absolute authority; I still can't wrap my mind around that. He claims he stole this shuffle pattern, in addition to the Black Friday shuffle, from his "shuffle champion", Jim Gordon on the Steely Dan tune Charlie Freak (from the Pretzel Logic album).
This guy does a marvelous job breaking down the Lido groove: http://www.youtube.com/watch?v=ThQ8pKyRFrk
And I'm sure you've seen this before, but here's the master breaking down Rosanna: http://www.youtube.com/watch?v=pwyO1qr0edI
Rosanna has a lot less going on, but it's also a lot faster. I love playing both grooves to a click as a way to work on my time and endurance.