Actually animating Yag Kosha wouldn't be all that hard.... Its just a withered body with an elephant head that barely moves. With the trunk covering most of the mouth, even the lip sync could be a little 'off' and no one might notice....
Sorry, that would look really amateurish. 
What about the lions? Maybe stuffed pillows?
just got around to reading back through this thread and nothing TheLordCrom is describing sounds amateurish to me. it sounds in general like he knows what he's talking about. Yag Kosha as described in the story could be done pretty cheaply while still looking good. it's been awhile since i've read the story, but as i recall Yag Kosha is practically paralyzed, so he doesn't need to be capable of much movement. the rigging could be very simple. you'd also have to animate the flying shots for the flashback but even that wouldn't necessarily require very extensive rigging.
as for the flyover, if you have some software where you won't have to build the city piece by piece, it might be worth trying it. i've personally spent many weeks building a cg city that was of pretty pathetic quality.
personally, i'd recommend a combination of paintings and models. if you limit the amount of camera movement (and really extensive flyarounds get cheesy anyways) you can get a lot of bang for the buck. only the models that are really close to camera need much actual 3-d detail. the rest can be painted facades. a lot of your light and shadow can be in the painted textures which will make your lighting and rendering much less expensive.
the lions will almost certainly be very expensive if they're too look good at all. unlike Yag Kosha, the lions really have to move and you probably want some fur simulation. it's tough because people know what lions look like and how they move. you can't get away with much.
if i were choosing a Conan story to do on the cheap, look for stories with limited locations and small casts. you also might want to avoid many animated characters unless you know some good animators. Phoenix On The Sword or God in The Bowl could be good. so could Frost Giant's Daughter if you can find a good way to pull off the giants. actually, if you're willing to forego camera moves for those scenes, the Giants could be done through forced perspective and look better than any cg you could get without shelling out tens of thousands of dollars.
forced perspective is of course how they did a lot of the size stuff for LOTR. they had some really fancy and expensive rigs so they could do it with camera moves, but if you lock off the camera it can be done quite cheaply. it's great for low budget work because it's all in camera. no expensive post production.
just get some scary lookin dudes with cool costumes and maybe a bit of makeup, do some careful choreography and you could have a truly impressive sequence. you could almost certainly find SCA and viking re-enactment people who'd help you with the opening battle.
