Stayed there a couple of weeks ago and nothing doing. There is however an excellent independent music/record shop which is well worth a visit and would know of anything going on the locality. There is a Tenby folk festival which was cancelled this year, but will go ahead next year- more info on their Website. Pembroke Dock may be more hopeful- was a session at The Flying Boat, Queen Street Pembroke Dock on Fridays- contact pub for more info. There is also something in FIshguard, but I don't know much about this. Tenby is a great town anyway. Been going there for years. It's going up market though- which is why it's image might have improved. Amazing beaches. Good food, nice people.