Why isn't Conan a Mary Sue?
Because one of his legs is both the same like Dumarest and Dr Who and Roland and the screen Wonder Woman, he faces worthy opponents and perils and victory is often bitter sweet.
I wrote about this at length for Black Gate (still no Hugo, but we now have a World Fantasy Award, by the way). If you dialled back the opposition and, say, had Conan settle down in Tolkien's Shire to protect the hobbits from the fallout from the Ring War, then he'd suddenly be this all-travelled, super-cosmopolitan, uber killing machine; an embarrassing Mary Sue (using the looser definition of the term*). The same goes for most competent characters who protagonate. It's the plot that makes a Mary Sue, not the character.
This is because plot is character...
