I have used O2 PAYG in Saundersfoot and it does work but not great, i think coverage is a bit hit and miss as my lads live in Pembrokeshire and mobile comes and goes.
We have yet to buy one ourselves but we need one due to my wife running her own business, we spend quite alot of time in Wales and have formed a few friendships, everyone I've spoken to and if my wifes Blackberry is anything to go by it would seem vodafone is one of the best networks for coverage and data transfer
If you are using a dongle, when in a area with a week signal its worth purchasing a long USB extension cable and hang the dongle in the sky light! It has helped us in bad areas. We use Vodafone, but not been to Wales with it.