The first Conan story to be written and to see publication was a tale of Conan as King of Aquilonia, "The Phoenix on the Sword", which is in fact itself is a re-working of the Kull story "By This Axe I Rule!". Howard started writing Conan at a point near the end of the character's career. As Howard wrote and published more Conan yarns, the settings and Conan's age and career would change -- king, pirate, mercenary, adventurer, thief.
In early 1936, Howard received a letter from P. Schuyler Miller, a fan praising the Conan stories and presenting his own ideas about the order of Conan's adventures. In Howard's reply, his pleasure at Miller's enthusiasm over the stories can be felt. He suggested that the outline was "pretty close" and offered other suggestions. Miller and fellow fan John D. Clark compiled and published a new chronology later that year. If I remember correctly, Howard didn't make notes for himself about the chronology of Conan's exploits, at least none that are known to survive. He surely thought about it as he wrote, but the letter back to Miller is the only known affirmation by him about a possible order.
Howard doesn't reveal many details about Conan's early life in his stories. Conan was born on a battlefield (literally or metaphorically?); in his youth he broke the neck of a Cimmerian bull; by 15 years of age his exploits were talked about around the council fires; and he fought at the siege of Venarium. These milestones all take place before the events in the stories proper.
The problem with the Miller/Clark timeline is that not all of the Conan stories had seen print yet. There were more submitted but not yet published, still others that were not chosen for publication, and also various fragments and synopses.
In the 1950s and 1960s, when L.Sprauge de Camp and Lin Carter began to compile first the Gnome Press edtions and later the Lancer editions, they had access to these unpublished and unfinished works. As part of their editing and compiling process, de Camp, Carter, and Bjorn Nyberg finished the fragments, re-worked tales of other Howard heroes (for example, the long version of the El Borak tale "Three-Bladed Doom" was re-fashioned by de Camp into the Conan story "The Flame Knife"), and worked in their own stories to create a chronology that fit the material on hand. By finishing fragments and working in their own original stories, it also strengthened their claim of rights over the Conan works. This official timeline would be used for many years, eventually incorporating the various pastiche novels as they were published.
In 2003 Howard scholar Dale Rippke proposed his own version of a Conan chronology, meticulously going over only the stories and fragments written by Bob Howard, and using the clues therein to piece together a coherent structure. It has the benefit of incorporating many stories that Miller did not know about, and the objective view of only using those tales by REH. Trying to form a complete, concrete chronology is a difficult task. Rippke's textual evidence convinces me that his makes the most sense. Many other Howard fans must agree, as it was his chronology that has been used by Dark Horse for the comic series and appears to be the de facto "official" timeline adopted by Conan Properties.
Many fans enjoy having the object of their interests codified and explained. This can be seen going back to the first Star Trek fan projects like Enterprise bridge blueprints ("every function of every button explained") and technical manuals, through to books such as The Dictionary of Imaginary Places, or The Atlas of Middle-Earth, and now today with sites like the Harry Potter Wiki. Fans enjoy knowing how things in the stories work and in what order their favorite characters' adventures take place. It also brings those places and people to life, and lets one imagine everyday life there.
"Any world-creator in a fantasy role-playing game setting can tell you about the hours/days/weeks spent building a working fantasy universe; immersing one's self in minutia and fine tuning the whole thing. There comes a point when the "Created-world" takes on a kind on life inside one's head. You are able to describe any part of it as if you had actually been there and experienced it. The whole thing transcends its origins and becomes (from a purely mental standpoint) a real place.
Every sense I get from reading Howard's Conan stories informs me that he experienced something very similar from his creation of the Hyborian Age world. He mentally lived in this place when creating and writing his Conan stories. Perhaps it was part of his putting on a persona as many authors do. All I can tell you is that he wrote these stories like he believed it. And, as any damned fine author does, he makes you believe as well." -- Dale Rippke, The Dark Storm Conan Chronology.