Age of Conan is set in Robert E. Howard's fictional fantasy world of Hyboria. Many a novel, comic book and graphic novel have been written about this world and the iconic characters that live in it. Yes, there were the two Conan movies starring the infamous Governator Arnold Schwarzenegger himself, although they didn't truly portray Conan or his world in all its true gore and glory.
Suffice it to say that there are more than enough resources out there to fill an MMO world, and many expansions to come. Obviously a good thing for gamers, since this gives Funcom plenty of room to grow and also sets up guidelines and history for them to work into the game's design.