I recommend the "big" Del Rey compendia like this one
- I have a ton of the collected Conan books, but have all of the other Howard compendia (Solomon Kane, Horror, Kull, Bran Mak Morn, etc) and really like the work they've done. I think there are three Conan editions...start with the linked one and work from there!
EDIT: Oh, by the way the most recent comic book run (Dark Horse
) is pretty strong as well...though some volumes are hit-or-miss...check your local shop or library AFTER reading the original stories!