1. Hyboria is very human-centric. Other than some creepy pictish pre-human savages, not many people from the world aren't standard humans. You could differenciate one group from another by making different attribute bonus values for Aquilonians vs Cimmmerians vs Zamorans etc.
2. Class options are also somewhat limited. I think that most of the spellcasting classes should be reserved for NPCs, since Hyboria is a very low-magic world. That still leaves fighters, thieves, assassins, rangers, and the like as potential options.
3. Armor isn't unheard of, but it seems to be rare. Conan goes into battle wearing chainmail but I don't recall many characters making use of platemail.
4. As a tie-in to #1 above, "monsters" tend to be mostly human as well. Or giant snakes. Or strange pict savages. Or giant spiders lurking in dark corners. Or the occasional creeping horror that isn't ever quite named. Since Hyboria doesn't focus on typical races as PC/NPC types, neither should the monsters be typical orcs, etc, but instead should be more "real world" type creatures but large scale.
5. Steal from history. Stygia is a lot like Egypt, so put in pyramids and maybe a mummy or something like that. Aquilinia is somewhat Roman/Greco so you could sneak in a minotaur or other creature from Greek mythology.
6. Sorcerers are evil. A common theme in the Conan stories is the idea that magic is somehow unnatural and sorcerers are creepy dudes who want to take over. And they are hard to kill.
Maybe that helps a little?
I do remember reading King Conan in Black Plate Mail with the Banner Flag of a Gold Lion riding his War Horse into the bloody chaos. Many times Conan would strip out of his armor prefering his agility over the weighted mesh but he is a Barbarian at heart.
There were all kinds of monsters. I remember Conan riding into Zingara along a rode sing a battle song to himself when he was attacked by batlike harpies. There were always those Giant ancient snakes. Bat Winged Vampire Ape Men killed his beloved Pirate Queen. There were the Picts which could be an off shoot race of humans. There were a lot of Ape-like Humanoid beings lost from the Primordial Evolutions of Humans. RE Howard also brought in many of the Lovecraft Demonology with some of his creations from the "Black Gulfs Of Night". I remember another one of those REH origional stories where Conan was mingling with eastern mountain tribes and came across signs of Yeti-like devils. "Black Colossus" Obsidian Golems, "Frost Giant's Daughter" Frost Giants, "Tower of the Elephant" Giant Spider, "God in the Bowl", I think that was the name of that one had Conan start out trying to steal something but came across an almost murder mystery trying to determine what had killed someone to find out it was a Naga creature transported from Stygia and it seemed like there was a story where there were some dragon like creatures similar to comodoes but much larger. Most of my references are from Howard's stories. There are thousands outside of those most them were pretty wide open to horrors. Howard kept the creatures real lurker focusing on the world and adventurering. Sometimes a monster was released or it was a place over run with critters and no one really lived in those remote places. Undead, I remember Conan wondered into a pyramid in Stygia and was approached by a vampire. Seems like there were some troglodytes somewhere too but I see how it could be open to any kind of monster if it was done with that Hyborian Flavor with mysterious legend and rumors.
I too am a fan of Howard's works, and the Hyborian Age is definitely my setting of choice for Sword & Sorcery gaming. I have toyed with the idea of a 4e adaptation, on which I have been working in my spare time. Essentially, I considered the following:
1) Humans only. Though Howard describes some races as "inhuman" and there is reference to "hellish spawns" (e.g. Tsotha-Lanti) these options are best reserved for NPCs.
2) Though the d20 Conan game goes to great length to define each of the cultures/races, I chose to go with backgrounds. Given the greater focus of 4e on actual adventuring rather than simulating also other stuff (e.g. craft, perform, etc.) this works quite well.
3) All the martial classes are allowed.
4) As far as spellcasters go, only Warlocks are allowed; these tend to be in line with most of the spellcasting we see in the novels. In particular, the Star Pact meshes well with the essentially Cthulhoid Cosmology of the setting. I would avoid the other pacts. Rituals are very handy, and the rituals system is excellent (we see Conan cast a spell or two, too.)
5) There are very few magic items, and surely not a magic items economy like in D&D, so an alternative way of addressing character development is needed. I am going to use the guidelines in the Dark Sun Campaign Setting book; they seem perfect for grittier settings.
6) Limit monsters to a few origins/keywords: no fey, no magical beast, no (human-intelligence) humanoids; plenty of aberrant, outsider, beasts and undead.
7) The campaign would be best run at the Heroic tier, perhaps up to the Paragon tier but definitely no farther than that.
That's more or less all, off the top of my head. As soon as I have a document completed, I will post here.
How would I stat Conan in 4e? He would be essentially a fighter; later in his life he would multiclass as a Warlord. He picked up a ritual or two in his career, so he would be a ritual caster. He would get skill training in stealth and thievery; also he was extremely well-read, almost a linguist.
This description seems rather faithful to what we read in the novels, but from a game-mechanics point of view is quite light.
Cheers,
Antonio