Hey y'all. I went through and annotated my copy of The Coming of Conan (Del Rey) this week, so I'm loaded for bear on this one. I'm also going to comment on the art of Mark Schultz. I've been a fan for a long time, but I feel some of his illustrations are highly misleading.
First page (p.85): in the "Old Ballad" there's a "Shamu's plain" mentioned.
Schultz's illo (p.85): Dave depicts the Kothians in ancient Middle Eastern war-gear (ie, Assyrians) despite the fact that REH describes them as decked out in medieval knightly/cataphract array (p.86).
Aquilonia: REH mentions "steel-clad riders", "war-horses" and "chivalry" (p.85). All these terms contradict the wide-spread notion that Aquilonian warriors were some sort of "Roman legionairies".
Ophir: a country of meadowlands, at least in its eastern regions (p.86).
"Shemitish bowmen": this is their first mention in the Conan yarns (p.86)
Amalrus: the king of Ophir, about Conan's age. In "Iron Shadows" (not written yet), Olivia is said to be the daughter of the king of Ophir. It would appear that Conan banged Amalrus' sis, back in the day. 
Conan:"His saga...was the basis of a whole cycle of hero-tales."(p.87)
Koth: apparently, there must be an expensive sword-academy in Koth, with training lasting "seven years".(p.87)
"mail brigandines"(p.87): there are coats of mail, and coats of brigandine. I'm not sure how the two could be combined. Kortoso?
"purple lotus":"Its touch produces temporary paralysis."(p.88)
Stygia: in its southern regions are "ghost-haunted swamps" where the purple lotus can be found.(p.88)
Conan: evidently, the Tigress was "dragon-prowed".(p.88) Note: this was written before "Queen".
Khorshemish: is graced by "minaretted mosques", which are presumably different than its "temples". (p.89)
Schultz's illo (p.90): evocative and accurate. I like it.
Conan:"And so you want to swine my kingdom". (p.90) I've tried to locate "swine" as it's used by REH. No luck. I can only figure he meant it to be some form of "swindle". Kortoso? Rusty?
Namedides: apparently, he could trace his lineage back a thousand years. (p.91)
"wars of the barons"(p.91): Louinet believes that Doyle's The White Company inspired this line. I agree.
Amalrus: has a rebel brother who controls western Ophir (p.91). Wonder if he's sheltering Olivia?
Aquilonia: REH calls it Conan's "adopted culture". (p.91)
Rinaldo: we learn he had been given a tour of the Halls of Horror (p.94). As Nabonidus noted, this inspired The Song of the Pit. I wonder if it was one of Conan's particular favorites?
Satha: according to Howard, this white-scaled monstrosity, at 80', was the biggest snake Conan ever encountered (p.95). Frazetta's iconic rendition got Satha's color wrong.
Conan: in his corsair days, he broke the neck of a python on the Stygian coast (p.95). This points to an untold adventure.
Conan: the unnamed Ku$hite slave claims that he and his brother fought Conan in front of the palace of King Ajaga, in the town/city(?) of Abombi on the Ku$hite coast (p.96). Another lost "corsair" adventure.
Shadizar: we learn that the salacious women of that "City of Wickedness" have "fat lips". They also laugh when attending slave auctions. (p.98)
Hyborian calendar: Conan freed Pelias on the "tenth day of the month Yuluk, of the year of the Gazelle"(p.101). To me, it sounds like this calendar was derived from a Shemite original.
Yothga: the "devil-flower whose seeds drifted down through the black cosmos from Yag the Accursed"(pp.101-102). Is this the "Yag" of Yogah? Perhaps the rulers of Yag dabbled with darksome things like Yothga, so Yogah and his brethren exiled themselves.
Khorshemish: founded three thousand years before (around the time of the fall of Acheron) by King Khossus V. There were ruins of an earlier city (Thurian Age?) on the site when it was founded. Khossus V abandoned Khorshemish and built a new capitol in eastern Koth. (p.102-103) In this yarn, we already see REH deviating from the dates given in the "Hyborian Age" essay.
Tsotha-lanti: conceived near the "pre-human ruins on Dagoth Hill" in a blasphemous union betwixt a "black demon" and a Shadizar dancing-girl (p.103). I wonder if the pre-human ruins were relics of the serpent-men?
Pelias: able to reanimate a corpse without incantations or prior preparation (p.104). A powerful sorceror, indeed.
"lotus-juice": evidently, the recreational pharmaceutical of choice amongst Kothian slaves. (p.104)
Tamar: Conan's (original?) capitol in Aquilonia. A city of "tall spires and gleaming domes". (p.105)
"men-at-arms"(p.105): once again, the fighting men of Aquilonia don't sound very "Roman".
Arpello: "the strongest prince" of the central Aquilonian province of Pellia. (p.106) There seem to be other "central provinces" as well.
Shamar: apparently, only a half-day's hard ride from Khorshemish. (p.106)
Tamar: at minimum, five days' hard riding from Shamar. (p.106)
Aquilonian nobles: have "fiefs"(p.106). No "fiefs" in Imperial Rome. There were fiefs in medieval France and England, however.
Conan:"Oh Crom, Ymir and Set!" (p.106) Conan must have been really pissed to swear by Set.
Conan's "steed": Pelias says "There are creatures, not alone of earth and sea, but of air and the farthest reaches of the skies... Yet to him who holds the Master-words and Signs and the Knowledge...they are not malignant..."(p.106) A "bat-like creature alighted". It possessed "great calm eyes" and a "forty-foot" wing-spread (p.106). Conan "saw it was neither bat nor bird."(p.106-107) Conan mounted its "ridged back" and gripped its "arched neck"(p.107). When this creature soared over the walls of Tamar, its shape was "such as men knew only in half-forgotten legends"(p.110). It then "roared" as it flew away (p.110). Now, what creature, known in legends, has giant wings, a ridged back, a long neck and roars? A creature that is "malignant" when not under sorcerous control? A creature that is "neither bat nor bird"? It sounds to me like Pelias summoned a dragon.
Well, it's late and I'm sure y'all think this post has gone on long enough. 