The Welsh Parish Register Guide with Archive & Family History Society Directory
How to find Welsh parish registers using this link table:
If you are visiting an archive in person, click the link for the website of your county to see details of collections, opening times, appointment procedure etc.
If you are researching online start with Family Search as these records are free. These records were produced in conjunction with FindMyPast and are the most comprehensive Welsh records online. You can see the transcriptions on the Family Search site, but you will need a subscription to FindMyPast to see scans of the actual documents. I have only linked to the Baptism records on FMP, but they also have Marriage and Burial records.
Another option is to visit the Family History Society website for the county you are interested in. These links are shown in the table. Some societies have online databases and most of them have shops where you can buy discs containing transcriptions of records for specific parishes.