Mynydd Llangatwg 1
Image by thesweetcheat

Ooh, that's good. Difficult to tell whether the hole has been made with something metal. Could be a rejected millstone as others have suggested, although there are comparable holed stones in Cornwall (like these: http://www.themodernantiquarian.com/site/4673/tregeseal_holed_stones.html).

They're definitely similar aren't they? That looks worth a trip too.