This 'Complete Chronicles of Conan' volume, which I also own, is a fantastic work. If you enjoyed it, I'd like to point out that Gollancz (the publisher) have recently released a companion volume (also black, leatherbound), entitled 'Conan's Brethren' -- which contains most of Robert E Howard's other heroic adventure stories, featuring the heroes: 'Solomon Kane', 'King Kull', 'Bran Mak Morn', 'Almuric' and 'Turlogh O'Brien', as well as several others.
It's probably fair to say that Conan the Cimmerian is the final and complete product of which all these other heroes are forerunners and prototypes. As well as being rip-roaring adventures, the stories also serve to illustrate just how knowledgeable Robert E Howard was in his chosen historical time-periods, as the settings of each story vary from Ancient Roman Britain through the Crusades and into the 16th Century. They also demonstrate his particular fascination with the Picts, Celts, Scots and other ancient races of Ireland whom he claims ancestral descent from. Conan the Cimmerian, interestingly enough, is supposed to be -- in Howard's world -- the pre-historical forerunner to these races.