As you can see, lots of exciting stuff. Steve Harrison's Casebook and Tales of Weird Menace sound fun: I distinctly remember some stories were left out of The Horror Stories of Robert E. Howard because they were considered to be of the latter genre ("Skull-Face" in particular.)
However, I notice one glaring omission from Tales of Weird Menace (glaring to me, at least): where's "The Black Bear Bites"? That's pretty clearly Weird Menace, it isn't a particularly long story, and it isn't half bad in my eyes. What gives, REHF? "Black John's Vengeance" sounds like it could be another name for TBBB.
Still, aside from that, looks good. I suppose if they didn't include "The Hyena" from Horror Stories, for whatever reason TBBB didn's pass muster.
EDIT: Paul Herman and Rob Roehm have helpfully confirmed that "Black John's Vengeance" is, in fact, "The Black Bear Bites," and that there's a little controversy about the two titles and Howard's final word on the matter:
I've heard two stories about this. One of the stories is that "Vengeance" was changed to "Bites" by an editor or someone because it gave away too much of the plot. The other story is that "Vengeance" was just a "working title" and that "Bites" was the final. I chose to go with "Vengeance" because that is the title that is on the typescript I used, and there was practically no difference between that ts and the published version of the story -- a single word here and a comma there.
Huzzah, big Black John's in Tales of Weird Menace!