That compilation is weird... It is only $3! It must have somehow fallen into the public domain. I also saw a copy of one of the original Gnome press Books, Conan the Conqueror: The Hour of the Dragon for $1.09! I am wondering how they can sell these so cheaply! It has to be public domain stuff.
The books are more costly, but I would highly suggest the current Del Rey series. Over the years many editors have taken their hands to Howard's yarns, some with censorship & others with almost disastrous effect.
The Del Rey series adheres to the current growing movement of a return to the pure essence of Howard's stories as they were originally published in Weird Tales and other magazines. With editing spearheaded by Rusty Burke, a noted Howard Scholar, the stories have been re-edited and returned to a state of closer to how they were when Howard originally wrote them (due to research gathered from original manuscripts). It is a retro movement that in many aficionados eyes, comes closer to the true essence of Howard than the earlier Grant or Lancer editions. This work is being done with the knowledge that some of these folks have been collecting on Howard for the past 30 years or so.
They sure have been selling a lot of these paperback editions and im sure more might be sold after the movie drops, so you might be better off getting a used hard copy on ebay.
I think it is funny that the Kindle edition of these books costs MORE that a paperback copy on amazon.com
So, in closing, I think the ebook for $3 would be worth it for starters, But you must get your hands on the Del Reys to get the best experience