A highly disappointing ending to a story that started off with potential. And not the best way to introduce us to the characters. I now agree with Angilasman, it would've perhaps been better to read stories set later in the character's lives (maybe in the 2nd or 3rd book), not just go chronologically with their first "adventure".
The comparisons to Conan can end - Conan is grim, brooding and fatalist at times, but never suicidal. 1st offense: Fafhrd's entertaining the idea of jumping off the cliff just because life is crappy, that didn't sit well with me. 2nd offense: He did NOTHING to help aid Vellix when he was up against Hringorl. He basically let Vellix die. 3rd and final offense: He left behind his fiance and their unborn baby.
Conan does things that are selfish and opportunistic at times, but he also has a streak of nobility. I've yet to see that exhibited in Fafhrd's behavior. And yes, Conan probably left lots of little "Conan Jr." babies scattered throughout the land over the years, but those were one night stands from his many years of womanizing. But every time Conan was depicted in a serious relationship with a lover, he was commited to her. But then the lover would conveniently die, leaving Conan to move on in his adventures.
I thought Fafhrd's lover Mara was going to be set up to die at the hands of Hringorl, and Vellix would die by tragedy, not by indecision on Fafhrd's part. Or maybe that Vellix would turn out to be a villain after all, and die a villain's death, thus giving the story a perfect opportunity for Fafhrd and Vlana to join forces. But maybe that's the thing - perfect opportunities (and noble, "blameless" deaths) are a work of fairy tales, and this was closer to real life. Doesn't mean I have to like it though.
The one good thing I take from this ending is that Fafhrd felt cold and distant on the last page of the story as he left his homeland, with Vlana by his side. He had expected to feel triumphant and excited, but apparently that emotion wasn't there. So that's good at least - he is quickly coming to realize that fleeing your problems will not lead to happiness.
Quick side note: I got tired of the Snow Women's powers: I'm still not convinced that was anything more than all in Fafhrd's head. But maybe that warrants some faint praise: it was written in such a way that it was ambigious enough that just maybe they DID have magical powers after all...
I got to thinking on this more, and this story and all of the rest of the contents of "Swords and Deviltry" were written in the 60's ("Snow Women" and "Ill Met" were both published in 1970 - but written in the late 60's). Compare that to all of the Conan the Barbarian tales - written in the 1930's. There's a generational gap here - Conan was Pulp Fiction, with all of the grandiose flair which that entails. "Fafhrd and the Gary Mouser" is 1960's Counterculture, written for a generation growing disatisfied with the American dream. Well, I know which of the two I prefer...
And yes, even though I disliked this tale, I'll be happy to read the next story. Maybe the Gray Mouser starts off as a better character.