There's loads. Treaclechop's blog lists most of them:
http://www.themodernantiquarian.com/post/18786/preselis_prehistoric_paradise.html
But 'must-sees' include Pentre Ifan, Carreg Coetan Arthur, the very weird Cerrig y Gof, Carreg Samson and I really like Llech-y-Drybedd (Llech-y-Tripedd).
Have fun!