Dave (J) don't know if you do any sea fishing, but there some good beaches around there. Pendine itself produces flatfish and of course bass are on the cards now.
There are a number of reservoirs that you can fly fish. The one that comes to mind is Llys-y-Fran. It's in a country park so if you're on vacation take the family as well.
For coarse fishing try Bosherston, near Pembroke. Some nice tench in there.