You'll be wanting (magnificent) trad for Pembroke, if that's not your bag then there are nice beaches, surfing (not much likely this week) and tea shops. You can noodle around at the base of the cliffs but mind something doesn't drop on your head.
There are a few places with rocks off the beach at places like broadhaven. I thought I'd read that there was some bouldering in the Pressilli hills as well.
Bouldering at Broadhaven, Newgate, Plumstone, Maiden Castle and Mynydd Dinas all in Boulder Britain. Also at Mynydd Carningli, Treffgarne and Porthclais that I know of. If you need routes just set up a top-rope.
