I always liked Robert E. Howard’s explanation for the creation of Conan. Basically, he said that he felt the Cimmerian’s dark presence materialize behind him one night while he was at his typewriter. Conan commanded him to chronicle his story, lest he chop his head off, and Howard wrote until collapsing at dawn. Thus, the first Conan story, "The Phoenix on the Sword," was written.
That's John Milius' explanation, not Robert E. Howard's. Milius basically took an excerpt from one of Howard's letters to Clark Ashton Smith, and jammed it up to the nines, turning Howard's similes and metaphors into "fact". It's a cool story, but it makes Howard look like a paranoid delusional nut.
Here's the original excerpt:
While I don’t go so far as to believe that stories are inspired by actually existent spirits or powers (though I am rather opposed to flatly denying anything) I have sometimes wondered if it were possible that unrecognized forces of the past or present or even the future work through the thoughts and actions of living men. This occurred to me when I was writing the first stories of the Conan series especially. I know that for months I had been absolutely barren of ideas, completely unable to work up anything sellable. Then the man Conan seemed suddenly to grow up in my mind without much labor on my part and immediately a stream of stories flowed off my pen or rather, off my typewriter almost without effort on my part. I did not seem to be creating, but rather relating events that had occurred. Episode crowded on episode so fast that I could scarcely keep up with them. For weeks I did nothing but write of the adventures of Conan. The character took complete possession of my mind and crowded out everything else in the way of storywriting. When I deliberately tried to write something else, I couldn’t do it. I do not attempt to explain this by esoteric or occult means, but the facts remain. I still write of Conan more powerfully and with more understanding than any of my other characters. But the time will probably come when I will suddenly find myself unable to write convincingly of him at all. That has happened in the past with nearly all my rather numerous characters; suddenly I would find myself out of contact with the conception, as if the man hiniself had been standing at my shoulder directing my efforts, and had suddenly turned and gone away, leaving me to search for another character.