Hmm, Welsh holiday. Burned into your memory you say. Choice words in deed...
Tata tŷ ha!
On a serious note there's plenty of coast to choose from down there and lots of small villages, you'll probably fine hundreds of choices of where to say, be it b&b, catered, self-catering. Remember Milford Haven is quite industrialised because of the refineries, but once out of the town it's much more rural. As for things to do, you can always pop over to visit the monks on Caldey island
http://www.caldey-island.co.uk/ it's quite peaceful there if it's not pissing it down.
For the kids - depending on how old they are - you have Oakwood theme park (
http://www.oakwoodthemepark.co.uk), Folly farm (
http://www.folly-farm.co.uk/). There are also plenty of castles and coastal walks to follow.