While I am also a fan of Grim Tales (it's the 3rd pillar of my campaign - I use it for custom-build stuff that I can't get straight out of Conan or Thieves' World), I think the Grim Tales magic system swings too far into the low-fantasy camp (at least as far as emulating TW is concerned). The varying mana levels, the spellcasting system, and the Priest-Mage-Witch distinctions perfectly emulate the books, IMO. GT spellcasting as written could also emulate the mana-poor period of Sanctuary's history but is a bit too harsh for the normal-mana periods. It's probably a wash in the end analysis, however, since both books use standard D&D spells.
With TW+Conan I have pretty much all of the swords-n-sorcery archetypes covered. I could achieve a similar result with GT (and with probably a wider range of variation), however it's more of a toolkit approach that may not appeal to everyone. It also means you could pass on the TWPM. If you're not going to use the d20 mechanics presented within (classes, spellcasting, prestige classes, etc.) you're pretty much left with the setting info - and that can be taken straight from the novels if you're not going to use 80% of the book.
In any case, if Santa's going to bring Thieves' World, be a good boy and get Grim Tales too!
Azgulor
Who could resist to such an advice? Problem is, I am not too much in d20 modern, more the usual dragon-slayer fantasy DM. So, it would mean, Grim Tales + d20 Modern... Hmmm...
Quite a lot of RPG for Christmas day! 
That seems nice, but maybe a bit too much science fiction for me... However, you did me quite favour with posting, since a friend of mine has recently dropped Shadowrun and now looks for a new steampunk setting. Thanks!
