foxworthy said:
The Hyborian age is the REH essay, the gazetteer is the world over view. Races are in the Pocket Guide since they are part of character creation.
The Pocket Guide omitted the interior illustrations, the Essay & Gazetteer as Foxworthy wrote above, and it doesn't include the bestiary at the end of the hardcover (which only a GM or sorcerer would need to reference anyway).
Unfortunately, I'm responding from work so I don't remember if anything else was missing but I don't think so. By the way,
the Hyborian Age essay is more of an age overview than information on the here and now of the game setting. It spans thousands of years and continental and racial evolutions, and only mentions a couple of characters by name (Gorm comes some 500 years after Conan's time if I remember correctly). The Gazetteer as has already been mentioned is the world overview. The h/c book
Road of Kings actually details the countries of the world with several key NPCs.