Here's the link on this site to
Mongoose's Conan page, which has all of their products available listed on it (am sure you've already found it, but just for the sake of it am including here).
I agree with urdinaran & René's posts above about Shadizar & Messantia, I also haven't picked up Messantia yet becuase of the cost, design, box aspect. Shadizar's okay, good to have for it's environment, off-hand I'd say that
Aquilonia is a great book by comparison for a regional reference, as is
Across Thunder River. The BEST book to pick up next is
The Road of Kings, which I whole-heartedly recommend.
If you have a sorcerer PC in your group you'll want to get
Scrolls of Skelos, otherwise you could do scholars however you want & could skip it. Likewise, pirates or bandits necessitate purchasing
Pirate Isles: in fact this is one of the best supplements. I just wish my guys weren't so afraid of the game water, I'd love to get them involved just to use this book.
Hyboria's Fiercest is a sourcebook for the less-than-civilized types with multiclass options, & etc. Since I typically ignore combat maneouvers I didn't make use of this part of the book, but it's got a lot. And because of problematic sorcerer in group I don't use much of
The Free Companies, which is an excellent sourcebook for armies, mercenaries, etc.
I really had problems with the major assumptions the adventure "Black Stones of Kovag Re" assumes the players will make, and since my players said "Yeah right" & ignored the suppositions in the adventure, it quickly went off the path. By contrast, "Coming of Hanuman" doesn't make as big a group of assumptions, IMO, and has enough adaptability to work for low to mid-level character groups. Haven't gotten "Tales of the Black Kingdoms". Lastly,
GM Screen is good reference to have, but much of what it lists on the screen shouldn't have been printed there, and what was left out was much more important. Still, when I don't want the group to see my notes/die rolls, it's great to have, & the cover is one of the nicer ones for game GMs.
Hope this helps.