I recently read something (which 120 seconds of googling failed to find) which dispelled the notion that Conan #3 was under-distributed (much to my surprise). Chuck Rozanski from Mile High Comics was discussing that issue and mentioned how the issues that adapted R.E.H. stories were in hot demand so he had trouble keeping CTB#3 in stock. He started listing #3 as "rare" or "low distribution" in his price lists and the idea stuck.

I had my own experience with a "rare" comic when I was a kid when I tried to find Star Wars #4. Not sure if that was really rare or not.