The entire DnA run is worth reading. Legion of the Damned 4-parter in LSH and Legionnaires, which led into Legion Lost 12-part series, which led into Legion Worlds, and finally, The Legion. I'm a huge Legion fan going back decades and this was the best the Legion has been in many years (and they haven't been as good any time since DnA left). It was a dream to be able to work on them.
Yeah, there's a series of omnibi. The first four of which will take you to issue #60. I used to have a bunch of random issues of that series. Always fun and better than the regular Marvel series back in the day. But if you like Conan, I also recomend the series done by Dark Horse Comics in the 2000s. The first several collections are all great.