Not sure if this has been mentioned before, but in amazon.co.uk you can find two books that seemingly contain all the Conan stories written by Howard. Therefore, anyone wanting to play Conan will find these two books invaluable. Here are the links to the books:
http://www.amazon.co.uk/exec/obidos/ASIN/1857989961/qid=1110047488/sr=1-2/ref=sr_1_11_2/026-9803835-7062843
http://www.amazon.co.uk/exec/obidos/ASIN/1857987470/qid=1110047488/sr=1-4/ref=sr_1_11_4/026-9803835-7062843
http://www.amazon.co.uk/exec/obidos/ASIN/1857989961/qid=1110047488/sr=1-2/ref=sr_1_11_2/026-9803835-7062843
http://www.amazon.co.uk/exec/obidos/ASIN/1857987470/qid=1110047488/sr=1-4/ref=sr_1_11_4/026-9803835-7062843