My grandparents live 10/15 minutes away by car from Haverfordwest, and I last visited on August 27th '04. We parked at Safeways' car park, which was free, and followd the footpath to the town centre (5 minutes). There are a decent amount of shops here on either sides of the river. You'll find regular high-street names, such as Boots, W.H.Smith, Accesorize, Dorothy Perkins and a Woolworths, which I enjoyed as they got rid of the one in Cambridge over a year ago.
"Don't expect to find high fashion here"
I didn't find too many specialist shops. There was a 'Welsh' store, which had the typical woolly sheep key-rings, magnets, postcards, woolly jumpers, books, etc. A good place if you want souvenirs to take home. Up the hill down the high street I found a clothes store selling Miss Sixty and other funky brands. And they had a sale on. Otherwise, don't come here expecting to stock up on the latest fashions.
We had sandwiches from the local bakery by the river, whcih was very busy and popular with tourists and locals. Sandwich fillings were typical; turkey and salad, prawn, tuna, cheese, egg and bacon (which my dad had), chicken. Pasties, saugage rolls, griled cheese sandwiches - usually bakery food. And very good too. Prices were average - £2 for a substantial roll. Cakes, obviously, also available.
Haverfordwest is a pretty town, one where you could spend a few hours enjoying lunch, shopping, sitting by the river. But don't plan a whole day, or even half, around visiting - the shops are typical to any UK town centre but also limited. You won't find anything unusual or unique here and can wonder around the town easily in a couple of hours.