From Howard's stories directly to your bad dreams!
The Slithering Shadow/Xuthal of the Dusk: Let us introduce you to Xuthal: a palace-City in the middle of an endless desert, inhabited by depraved Lotus eaters that tend to look dead most of the time. And what about its god, Thog? The child of a Blob Monster and an Eldritch Abomination made of darkness, so dazzling that it's impossible to look at properly. Oh, and he frequently wanders the corridors of the palace looking for prey. And judging by Thalis' fate, being captured by him is NOT pleasant.
On a similar note, Conan and the Spider God: a dungeon inhabited by a bull-sized Tarantula and her children.
Homophobia aside, Tascela from Red Nails is a disturbing character with heavy Psycho Lesbian tendencies. Not that the city itself is better: a giant palace infested with murder-obsessed psychos, monsters and forbidden secrets...
The monster summoned by Thoth-Amon against Ascalante in The Phoenix on the Sword: Part mummy, part ape, and so monstrous that it can destroy the soul of a man just by gazing into his eyes, as happens to Ascalante and almost happens to Conan himself. Even Thoth-Amon doesn't look at it directly.
The Gray Apes in general and similar monsters all have the bad habit of appearing with the most horrifying background in the stories. Especially Thak in Rogues in the House, who Was Once a Man.
The restless giant slug in The Hall of the Dead is quite jarring: it can't be killed by conventional means, never tires and spew acid.
The wraiths in The Castle of Terror are quite pitiful at first... then they go One-Winged Angel and merge into a giant, monstrous multi-headed thing with claws and legs which proceeds to slaughter a group of Stygians in a Grand Guignol-esque fashion.
The creature from the "The God in the Bowl". Even more scary because it's not fully described, allowing you to imagine its appearance...
It's heavily implied its a giant snake with a human head though
The ferocious tribe that like to fossilize their enemies alive using The Pool of the Black Ones is unsettling. Then it turns out that the bottomless pool is the real adversary. It's alive... and mobile... and immense. Conan and company aren't safe until they're aboard ship, and even then they can see the mass questing along the beach, looking for them...
The creature Yag-kosha in The Tower of the Elephant was written before 'evil things from space' became the Conan tradition, and in his case it turns out Humans Are the Real Monsters. The 'monster' has been tortured for decades, forced to teach black magic to the human master of the Tower.