As a north Walian, I should be contractually obliged to post something along the lines of "ha ha" in this thread. I have been in that O'Neill's a few times though, so I shan't.
Of course, if you're talking Cardiff city centre pubs: Owain Glyndwr FTW. I like the way it serves as a surrogate 'local' for lots of people I grew up with every time there's a Wales game on*. Last time I visited there, I dumped into three blood relatives, despite each of us being at least 160 miles from home. (*The same also applies to that Australian pub I can't remember the name of, which is right next to the Millennium, within one hour of kick-off. And yes, I do realise absolutely no-one will give a flying toss about this comment other than me.)