The Pembrokeshire coast is a mecca for sea cliff climbing, with more recorded routes now than the whole of Snowdonia! The area can be roughly split into the steep limestone cliffs of the South (which is then split East/West and further subdivided into smaller sections of coast), and the hard sandstone in the North, typified by bold slab climbs.
The vast bulk of the climbs here are tidal sea cliffs, and the Bristol channel has a notoriously large tidal range (second in the word!), so it is imperative to check the tide tables when planning a visit. Also note that a large section of South Pembroke is a military firing range, and access is limited to times when live firing drills are not being carried out. Climbing on Range West is only permitted after attending a briefing session with the MOD.
The M4 is the main access to South Wales from England. When that runs out, continue along A roads, depending on which area you intend to visit.