On the Saturday when we stayed in Broadhaven, just a bit back from the sea, there was a real storm and the sound through the night very exciting. In the morning there were lots of surfers out having a great time.
We walked either around the rocks when the tide was out, or over the hill (not my most exciting way) to Littlehaven and we ate at the pub there The Castle - a couple of nights. Very busy spot.
It is a beautiful part of the world.