I've been reading this collection of short stories and poems REH wrote for Weird Tales. There are going to be a total of ten volumes, I have the first. If you want more stories you can turn into adventures, these are the books to get.
The interesting thing about the Shadow Kingdoms series, is that you get to read the stories REH wrote chronologically. You get to see how his writing style changes and how he improves on his writing. I like it cause it helps me to get more of the flavor of REH's writing style in my veins.