I've just come back from south-west Wales - St David's is well worth a visit, the cathedral is very photogenic:

It cost Ł1.50 for a photo permit to shoot inside, but if you want to use a tripod its something like another tenner! I shot handheld with my 10-20mm though:

As Hwntws says, taking a short walk south of the city to St. Non's well/bay is also good - a great section of coast path here! Wasn't very good for photography when we were there as it was lunchtime and the light was a bit hazy, but was still very nice indeed:

We stayed at a cottage in Dale and took the bus to St. David's one day and really liked that, you go all along the little coast roads and see a lot! There's a bus service to Martin's Haven (where the boat leaves from to go to Skomer Island, but the first one is a bit late to get the early boat - we ended up walking there from Dale to be sure of getting on the first boat - it's about five miles).

We were a bit early for puffin chicks, so didn't get really close to the puffins, but they were flying around us while we waited to get the boat back to the mainland, and there were lots sitting on the water.