Here's a very good site:
http://www.swanseaheritage.net/swanseathroughtheyears/main.asp
Info on old Gough houses in Swansea (some undamaged)
http://history.powys.org.uk/history/ystrad/gough1.html
General Swansea blitz info:
http://www.bbc.co.uk/wales/southwest/sites/local_history/pages/swansea_blitz.shtml
Specific properties:
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http://www.pavrep.org/
The Palace Theatre in High Street, Swansea, was built in 1888 as a traditional music hall. The Grade II Listed building is one of just two purpose-built music halls left standing in the whole of the UK. It was also the first place in Wales to show a silent picture and remained undamaged by the blitz that destroyed much of Swansea city centre during the Second World War. Now called Palace Repetory Theatre.
Promenade (1902): http://www.enjoygower.com/mumbles/tour05.cfm
Rhossli, 1933: http://www.nationaltrust.org.uk/main/w-vh/w-visits/w-findaplace/w-rhossilivisitorcentre/
12th century mill:
http://www.gowerheritagecentre.co.uk/
Cottages:
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http://www.walesdirectory.co.uk/holiday-cottages2/WALESORA.htm
http://www.walesdirectory.co.uk/holiday-cottages2/WALESJAM.htm
http://www.walesdirectory.co.uk/holiday-cottages2/WALESJYW.htm
http://www.totaltravel.co.uk/travel/wales/south-wales-valleys/swansea/attractions/heritage/dylan-thomas-centre
Churches and chapels:
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http://www.enjoygower.com/mumbles/tour03.cfm
The church dates back to 1141–the medieval part of the building is located at the back. It was built on a Roman site; the churchyard was paved with small bricks, being known as the Saints pavement. The tower and the Lady Chapel were additions built in the thirteenth century, the church was extended again in the 1860s, and further alterations in the twentieth century.
St Mary's church:
http://www.explore-gower.co.uk/rhossili_church/msom_cat=5/totcat=14.html
Mumbles chapel - http://www.enjoygower.com/mumbles/tour02.cfm
It was originally built in 1814 .
Hope this helps you.