Both absolutely gorgeous, the beaches at Tenby are great, I would love to go and stay there but am just too close yet not close enough IYSWIM!
If you have a good budget and no children the St Brides hotel in Saundersfoot is utterly blissful but there are caravan parks/campsites and everything else between in that area of Pembs. There's a nice Haven apparently.
We always stay at Amroth Castle caravan site which is just down the road from Saundersfoot. Lots of different accommodation, a great beach and a little parade of shops. It's quieter than Tenby but easily accessible.