I'm not as impressed as Turjan by the Conan RPG. I don't think it's great, but it's a decent rulebook, and the background part and magic feel are both very well done compared to the writings of Howard, in feel at least, as far as Magic is concerned.
If you want to run a Conan game, you might want to check out GURPS too. There is a GURPS Conan sourcebook that much people who have read it rave about.
Running a Conan game using Iron Heroes would be a blast too. Haven't tried it, but I would like to, with Aquilonian characters or something.