Agree with all the above. Not best served by trails but spectacular area nonetheless. Learn to surf. Road riding around there is all pretty good – not much traffic and great scenery, not many big climbs, but lots of short sharp ones. A few short stretches of bridleway in N Pembs (Between St Davids and Fishguard), including some quite nice coastal stuff, but none of it really links up, and a lot of it is very poorly maintained – remember having to scale fences and wade through a knee deep bog on one particularly sketchy ride!
As others have said, it's a fairly easy run up to the Brecons or Cambrians, and despite the lack of local trails I'm sure you'll have a blast.