As far as melancholy music, may I suggest the Rachmaninov Elegiac Piano Trios. They're on the Chandos label, Borodin Trio. Also try the Dvorak "Dumky Trio," also on the Chandos Label. Definite "wrist slashers!" Some parts of Prokofiev's Romeo and Juliet will give you goosebumps and tears at the same time. My version I believe is on the London label with Lorin Maazel.
For Conan music, try some Berlioz overtures, Rob Roy in particular. Very demanding on the brass section. Chandos label again.
Now... string music: that spans a wide range. Do you like solo, concertos, chamber, etc. Time period? Baroque (period pitch and instruments is best IMO), Classical, Romantic, 20th century, Avant Garde? Some things that immediately come to mind are the later Mozart quarters, Brahms Serenades, Brahms Sextets. For starters, you might consider the Bach Brandenburg Concerti.
Oh, and a combination of two of your desires, string and melancholy: try music for string orchestra by English composers e.g. Vaughn Williams, Barber, Elgar, Warlock. There is a version of Vaughn Williams Fantasia on a Theme by Tallis that will make you cry. Its conducted by Morton Gould on RCA Red Seal. It would be great to snag a copy of that. Very cliche' but Barber's Adagio for Strings. Consider Elgar-Intro and Allegro. Oh, Vaughn Williams "The Lark Ascending." - Hugh Bean Solo violinist Sir Adrian Boult conducting.
If you want to hear demanding french horn music, I can't think of any solo or concertos but some symphonies where there are some very prominent and difficult french horn passages in symphonnic music e.g. Dvorak Synphony 8 and 9 (9 I suggest Slatkin on the Telarc label Slatkin conducting, 8 with Kubleik on DGG.
Hope this helps without sounding like a snob. All the best.
