Couple of great spots on the west coast, Aberaeron, Georgian harbour town built from scratch and all painted bright colours. Good crab fishing along the wall. Decent spots for food. Another couple of small beach towns Tresaith and Aberporth, Tresaith has a gastro-ish pub and beach surrounded by cliffs, with waterfall toppling over the cliff.
Further south, St Davids peninsula is nice, I think the best spot is Solva, rather than St David’s city though. The outdoor centre there is where they developed Coasteering, great fun. Marloes beach is spectacular further south and the walking from Broad Haven round to Dale spectacular.