Karl Edward Wagner's trio of anothologies, ECHOES OF VALOR, is one of the best chances you'll get to corral a wide variety of superior Sword & Sorcery short stories in inexpensive paperback format. All kinds of great, hard-to-find, heroic fantasy in there: Howard, Leiber, Kuttner, C.L. Moore, Leigh Brackett and others.
Wagner's five books about his demonic anti-hero, Kane, are all worth hunting down. Probably the best Sword & Sorcery of the 1970's, and still strong today. These are NIGHT WINDS, BLOODSTONE, DARK CRUSADE, DEATH ANGEL'S SHADOW, and DARKNESS WEAVES.
David C. Smith's ORON is an underrated Sword & Sorcery epic, but beware of the weak sequels he wrote later.
Andrew Offutt's uncompleted series of pastiche adventures featuring REH's hero, Cormac Mac Art, are worth owing. They are THE MISTS OF DOOM, THE TOWER OF DEATH, WHEN DEATH BIRDS FLY (excellent!), SWORD OF THE GAEL, THE UNDYING WIZARD, and SIGN OF THE MOONBOW.
Eric Van Lustbader's Sunset Warrior sequence is more Sword & Science than Sword & Sorcery, but it's so good that it's a crime so many fans are unfamiliar with it. It includes THE SUNSET WARRIOR, SHALLOWS OF NIGHT, and DAI-SAN.
John Jakes's Brak, Gardner Fox's Kothar and Lin Carter's Thongor are all rather goofy REH imitations that only a hardcore fan could love. The Thongor books in particular are so enthusiastically over-the-top that they have a weird kind of charm.
And you can't miss REH's King Kull tales, or the nifty new edition of his SAVAGE TALES OF SOLOMON KANE.