jazzgirl gave a link to a recipe, pigale. They aren't difficult to make, I think (though baking isn't a cookery skill I take an interest in).
I may have told this story before. Soon after we were married, we were staying with my aunt and uncle in Caerphilly. One morning we had (as always in Wales) cooked breakfast. We then drove up to the Rhondda to see my grandmother, stopping on the way for a picnic lunch. My grandmother then gave us lunch. In the afternoon, we went to see some great-aunts who lived nearby - they gave us tea, with Welsh cakes. Back to my grandmothers for high tea, with Welsh cakes, of course; then to another aunt, who gave us tea with Welsh cakes. The aunt and uncle we were staying with then took us in to Cardiff for dinner at a restaurant in the evening.
Deadly insult in Wales not to eat food provided. I don't think I've touched a Welsh cake since!