i always preferred Savage Sword of Conan over other titles... it was more graphic and violent. intended for mature readers as i recall. then again it's been years since i read that and even then didn't finish. a good chunk of it appears to be collected now.
Dark Horse Conan is great. especially the Busiek run (Conan) and the current run of Wood's Conan the Barbarian. Conan the Cimmerian might be worth it for the awesome art. Road of Kings is optional. still, you might wanna consider reading all of it in order, because like others have pointed out, it's the first time that an attempt at continuity has been made.