I'm not in favor of a book of monsters, as Hyboria is a human populated world where demons, outsiders etc are supposed to be very rare (the average hyborian will never see any such thing, as opposed to the D&D world where every commoner has seen goblins, demons, beholders, etc. There's no terror if you see them all over the place. I'd slap any GM who introduced elves or goblins in a Conan rpg game, but I can't blame any GM asking for more creatures to terrify and bedazzle his players with, I guess.
Now that I've had my rant, I'd recommend Cthulhu (or the d20 version now out of print, but here's an article about it on the Wizards site with Monte Cook) for monsters, as Lovecraft and Howard were penpals and both wrote Cthulhu mythos stories (Lovecraft's setting). Those things are very wierd, often indescribable, and strike terror in the hearts of those unlucky enough to witness them (like with the Conan stories, only his barbarian instincts often stir him to rage whereas civilized men are just eaten by the monsters).
Anyways, hope this helps.
Now that I've had my rant, I'd recommend Cthulhu (or the d20 version now out of print, but here's an article about it on the Wizards site with Monte Cook) for monsters, as Lovecraft and Howard were penpals and both wrote Cthulhu mythos stories (Lovecraft's setting). Those things are very wierd, often indescribable, and strike terror in the hearts of those unlucky enough to witness them (like with the Conan stories, only his barbarian instincts often stir him to rage whereas civilized men are just eaten by the monsters).
Anyways, hope this helps.