Howard kind of did in several of his Westerns, save for the Breckenridge Elkins stories which were deliberately broadly comic. Or at least he wrote characters who were as amoral yet honorable in their way as Conan.
There are also the El Borak stories, in which a gunfighter from Texas ends up in Afghanistan somewhere around the time of the First World War (which is depicted like something from a Kipling story, only with more people getting their heads lopped off) and gets into all sorts of blood-soaked adventures.