Well, there are Red Sonja and Conan books out there already if you haven't read them. With Conan, I would ignore new Marvel books and go for Dark Horse (and old Marvel) and European ones published in English as "Cimmerian." Red Sonja books were a mixed bag for the last decade, but "Unchained" was a decent recent-ish story. If you want more swords and sandals, Dark Horse's Fafhrd And The Gray Mouser comic adaptation is pretty good too. It's about two wandering mercenaries. Lots of action (although drawn by Mignola), but no cheesecake from what I remember.
If you want to go full grimdark, action, and cheesecake, there is Requiem Chevalier Vampire for that. It's just a nutty story about a nazi who wakes up in hell as a vampire. There he gets involved in hell politics. That includes internal power struggles within the vampire kingdom, and vampires' war for power in hell waged against zombies, dragons, and other factions.
For something that's a bit swords and sandals, and a bit medieval (and a little bit scifi), there is Thorgal. Basic setup (alien baby stranded on the Earth and raised by humans) is similar to Superman, but Thorgal does not have superpowers, he is born around year 1000AD, and his adoptive parents are vikings. Thorgal is a warrior, but also a family man. Most of Thorgal's stories involve him getting dragged into something, and then trying to resolve the situation so he can save/get back to his family and live in peace. Tone fluctuates between light-hearted adventure, dark fairytale, and dark fantasy. Start can be a bit rough, but the longer it goes, the better it gets. There is some cheesecake that varies on per volume basis - for example, one of key recurring characters is a beautiful woman wearing nothing besides a magic belt but she is used sparingly.
European Elric adaptations and Dark Horse Witcher comics are solid dark fantasy stories too.