You can find excellent very well priced accommodation around Haverfordwest using Airbnb!
We run an Airbnb bed and breakfast down in Devon (house below) - and we have stayed in Airbnb accommodation all over the place. You can find the wonderful little gems with totally committed hosts and really frightful places which you put down to experience! You absolutely have to read the details of each listing - and read the reviews! We have had people coming to East Quither Farm expecting to take over our whole house - or our kitchen etc simply because they have not read the description. Basically use Airbnb wherever we go - but we do do our homework!
Bed & Breakfast Accommodation plus Guesthouses
If you would like something truly different you might like to have a look at Airbnb. These are mostly B and Bs provided by people on a very informal basis. The may have a spare room, a yurt, a cottage or a barge with space they can receive guests for a night or a month! The website is highly professional. You can really see what you are going to get. Very well worth a look. Airbnb also show 'conventional' B&Bs as well. Enjoy!