I 2nd the Pendine tri.
This is the company that does it http://www.healthylifeactivities.co.uk/
The llanelli tri they do in August is ok too. If you're not too sure about swimming in the sea then it's a good introduction to open water swimming as it is held in Llanelli's dry dock. Nice and shallow with no waves to deal with
I'm based near Blackwood, so not too far from you.