When I was young I didn't read much comics. In the Netherlands 'strips' (comics) were usually the well known comics from Belgium (Tintin, Spike and Suzy) or funny and/or dirty ones. I never really liked them. American comics here were and are expensive, so I didn't read them. But I had friends who did have some, and they gave me Sandman, after which I was a huge fan from this series and Neil Gaiman. I then read Alan Moore’s comics (Moore being Gaiman’s mentor) and loved his comics too, including Swamp Thing. But, as I said, comics are expensive here, and I stopped buying them (mainly Vertigo imprints) after my graduation, unfortunately (though I once got the first issues of Preacher).
I liked the episode on the podcast, so I scribbled some of the titles on paper. Moore's Providence already was on my wishlist, but 'alas', they are out of sale here (and I don't have a credit card or the like, so I can't buy things from 'far away' directly). But I keep trying.
I do have a copy of stories of Lovecraft, adapted into comics by the (over here well-known) artist Erik Kriek (http://www.gutsmancomics.com/news/). Though I didn't read any other books by him, I think he likes weird tales (although he also likes to make parodies and to add the afore mentioned sexual dirtiness). Many of his comics are translated into several languages. His adaptation of Lovecraft (http://www.gutsmancomics.com/works/comics/#44) earned a lot of praise.
Coming into this super-late. Marvel had (maybe still has) the rights to Conan, Kull the Conqueror, and Solomon Kane. Each of them had monthly titles back in the 70's and 80's, of which I think Conan was the most successful. Don't know if those have been collected anywhere.
I distinctly remember a cover of Conan crucified on a tree that was very similar to the scene in the first Schwarzenegger movie where he bites the vulture's neck.
Seriously, you're so obsessed with Belgium, why don't you marry it? This would be like if I went on and on about Oregon. Actually, I really liked the parts of Oregon I've visited.
It looks like Kriek has a collection of comics short stories called "Murder Ballads" that is available here in the U.S. We'll have to keep that in mind. We need to do some Alan Moore next year, too! It may not be possible without a credit card, but have you looked into digital comics? That should make most of these titles available to you.