The Gods of Bal-Sagoth (first published in Weird Tales, October 1931) - Also known as The Blond Goddess of Bal-Sagoth, this is a sequel to The Dark Man despite seeing print before that story. This story can be found on Wikisource. It was adapted as a Conan story by Marvel Comics in Conan the Barbarian #17 (Aug 1972).
The Dark Man (first published in Weird Tales, December 1931) - Turlogh rescues the daughter of late Irish king Brian Boru from Vikings. This story features a cameo of another Howard character, Bran Mak Morn, albeit post-apotheosis as the titular Dark Man. This story can be found on Wikisource. Adapted as a Conan story.
Spears of Clontarf (first published in Spears of Clontarf, 1978) - A historical story set against the Battle of Clontarf (1014). Howard also rewrote this unsold story twice. One version, The Grey God Passes is close to Spears of Clontarf with added fantasy elements and the other The Cairn on the Headland is a modern horror story.
The Twilight of the Grey Gods (first published in Eons of the Night, 1996) - Also known as The Grey God Passes. This is the re-write of Spears of Clontarf (see above) with added fantasy elements
In addition to these there is an untitled and unfinished piece that begins "The Dane came in with a rush, hurtling his huge body forward..." This was first published in Shadow of the Hun, 1975.