Most walkers and the majority of guidebooks choose to walk from North to South. That is, they start at Chester and walk west towards Anglesey and the Llyn before heading south down Cardigan Bay, around Pembrokeshire and the Gower peninsula, and then east along the South Wales Coast the coast to finish at Chepstow.
Benefits include having the sun on your face for much of the way and some of the best views ahead.
But of course, the path can be walked equally well in either direction.
The choice is yours.