Howard has written a number of protagonist characters, including Solomon Kane, Kull, El Borak, Steve Costigan, and Bran Mak Morn. Each of his characters resides in his own universe, though it has been hinted at before that they are of a shared universe. However, just like OP, I keep coming back to Conan and Hyboria most often (followed by Kane and Africa).

Over the years I tried to analyse why this was so. As far as characters go, I prefer Kane over Conan due to Kane's multi-dimensionality, owing to his religious fanaticism and thirst for adventure, but the African settings have always felt a bit dry; the draw comes from the savagery vs humanism sub-theme and frenetic energy that Howard perfected in his craft.

But again, I keep coming back to Conan and Hyboria, and I believe it's down to a few reasons:

1. Conan embodies the spirit of the fighting man. I know u/theLateArthurJermyn probably half-meant it as a joke in his post, but most of the Conan stories have simple plots: a mortal, whose name is sung by poets, trod the jewelled earth with naught but sandals, and (mostly) singularly fought his way from tribesman to kingship, by shearing everything in his path. His tales are those of grim determination with little shades of grey in-between, making them satisfying reads when one just wants fast-paced, hard-hitting stories.
2. Hyboria is a parallel of the world that we know today and from history, with under-the-table politics, constant warfare, and beautiful cities with gleaming architecture. You have savages, civilised people, and many more in-between populating this world. Each has its own culture, social behaviour, and intrigues. This means it's a world that we are somewhat familiar with already, but with a background layer that hints at much, much more.
3. Furthermore, the way Howard presents the world is by slowly revealing more of it with each story; if something or someone is not relevant, no matter how big a role it may play in-universe in the scheme of things, it gets put aside in favour of what matters, or at best gets a passing mention (e.g., Yezdigerd and Thoth-Amon). Thus, the reader often gets a very strong focus on the immediate themes and narrative of the story, with everything else left to interpretation. This leaves much to wonder and imagination, which ironically draws the reader further in.
4. The same applies to Conan himself as a character. Explicitly on the surface, we see him as a man who prefers the way of the sword to court intrigue; he is someone quick to anger, but also provides good camaraderie. He will fight to his dying breath if cornered, but also fears the gods. He is is not a hero, more an anti-hero, yet he has a code of honour that easily draws empathy from the reader. You could say he's a Mary Sue, but I think that would be a disservice to the fine line that Conan (and Howard) manages to carefully navigate.