In reply to Paulos:
> Snorkelling at St Brides Bay.
Do you mean St Brides Haven? GR SM801108 I agree the snorkelling is good there.
St Brides
Bay is the whole chunk of sea between Marloes and St Davids - a bit big for one snorkelling session!
I would recommend the evening boat trip around Skomer and Skokholm from Martin's Haven:
http://www.pembrokeshire-islands.co.uk/boat-trips/sea-safari/skomer-and-sko... You see loads of birds from the boat - we even saw a peregrine - as well as seals, and then you get to see the shearwaters as they head back to the island at dusk.
There's a guy in Little Haven (just along the somewhat hairy coast road from Broad Haven) who will sell you fresh-caught mackerel, crabs and lobsters. He's on the corner as you turn in to the car park IIRC. The lady up at the "tourist information"/shop a few hundred yards up the hill towards Talbenny/Hasguard should be able to give you precise directions.
The Blue Lagoon is somewhat over-rated these days IMO - full of screeching coasteering groups and tombstoners (it felt a lot more 'secret' 40-50 years ago when I used to go there with my parents). However, the walk over from Abereiddy to Porthgain is very pleasant, and The Sloop Inn in Porthgain is excellent (try the fresh crab sandwiches if they're on the menu). There's a nice inland route back to Abereiddy if you tire of endless sea views, or you don't trust yourself on the cliff path after a few pints...
A visit to Tregwynt Woolen Mill is best followed, IMO, by a walk down the wooded valley to Aber Bach. At low tide you can scramble round from there, on the rocks above the sea, to Abermawr. At high tide you can walk over the small headland. Abermawr is interesting for two things: it's where one of the earliest submarine telegraph cables to Ireland came ashore, and it was the site originally proposed as the terminus for Brunel's South Wales Railway. The destination of the line was later switched to Goodwick (aka Fishguard Harbour) before work came to a standstill as a result of the Irish Potato Famine. (The SWR was eventually to terminate at Neyland in 1856, with the line to Goodwick only being completed in 1899).
There's another woollen mill near Solva, if you're in to Welsh blankets and the like and want to shop around a bit.
Tenby is, as others have said, far too busy, and with not a whole lot to actually make it worthwhile going there IMO - there are nicer, and certainly quieter, beaches in the north of the county. I've been told that there is a bluestone from the Preseli Hills in the harbour wall at Tenby, one theory being that it must have been dropped when it was being loaded onto a boat or raft to be taken across the Bristol Channel to be used for the building of Stonehenge. (There's a good walk in the Preselis that takes you to the site where the bluestones are supposed to have been quarried, on Carn Menyn near Mynachlog-ddu.) It's alleged that a local man from Saundersfoot built and flew something approximating to an aeroplane in 1896, seven years before the Wright brothers first flew at Kittyhawk:
https://en.wikipedia.org/wiki/William_Frost
If you fancy a decent dinner then I can recommend Cnapan on the main street in Newport. Cwtch in St David's is more well-known (if only because its name means "cuddle") but I've not actually eaten there myself.
Brian John's
Angel Mountain Saga is quite a good series of novels set around the Newport area from the mid-1790s onwards. A kind of Pembrokeshire
Poldark, if you will.