Beat me to it - if you are planning on doing every line in a day then its worth considering the buses from one valley over to the next.
Also, going off topic, but since people were discussing the ASDA in Merthyr, it's the place of this story:
http://news.bbc.co.uk/1/hi/wales/2701837.stm
#putasockinit

Right boyo. I have been up in the valleys a lot over the last 3 years because of my line of work so here are some comments for you.
Rhymney Valley: Rhymney is not much of a place. Likewise its neighbour Pontlottyn. Hourly service only (for the time being) on the line between Bargoed and Rhymney although it is understood that a passing loop is to be installed at Tir-Phil. On the signalling front the box at Ystrad Mynach, which will be on your left (when going up towards Rhymney) a short distance before the station of the same name, is worth a look when you pass it. Ystrad Mynach box has quite a number of semaphore signals in its area as does the box at Bargoed station. Both these boxes, along with the semaphores, will be gone within a couple of years: it is understood that Bargoed will close later this year with Ystrad Mynach to follow in 2014.
Treherbert - Pontypridd: is not a bad route either and is well used. Porth is quite tidy and has quite a few shops. Treherbert itself is OK but it is a pity that this is a train trip rather than a car trip: the Rhigos Pass (as I believe it is called) between Treherbert and Hirwaun is well worth a drive. Treorchy also has plenty of shops and there is, if I recall rightly, a good chippy not far from the station but the name of it escapes me as I have only had cause to visit said chippy on one occasion.
Aberdare - Pontypridd: haven't been up this route for more than a year and so can't remember much. The station at Abercynon has the remains of the old signalbox (closed 2008 and replaced by the rather ugly PSB just over the tracks) on the platform. A nice enough ride but delays may occur if freight trains to / from the Tower Washery at Hirwaun, nr. Aberdare, run behind schedule as the top end of the line is single track.
Merthyr Tydfil - Pontypridd: is a route I haven't used in ages. Part of the line, just north of Merthyr Vale station, passes not far from the village of Aberfan, so sadly famous for all the wrong reasons.
Pontypridd - Cardiff is quite a nice little run. Of note on this route are the remains of the Walnut Tree Viaduct. Remains of this structure are easily found if you know where to look: if you are heading up the valley then you may well see some of the remains from the window and the most prominent is a large freestanding pillar that has various royal Jubilees mentioned on it. The viaduct used to cross the line just south of Taff's Well station.
On the
Vale of Glamorgan routes, Cardiff - Penarth is not a bad ride. Penarth itself is, to use a Welsh expression, quite tidy. Barry isn't bad either although I have never had to use the line down to Barry Island. If you continue on to Bridgend then you will pass the box at Aberthaw although this is to be abolished over the weekend of 26th / 27th January: new signals are being installed but semaphores reign supreme until abolition. The fact that no station exists at Aberthaw means that you will sail past a pub at East Aberthaw called The Anchor, the oldest parts of which date back to 1380. I visited it on New year's Day and it is well worth a call.
On the bus front, the main bus across the top of the Valleys is quite probably the X4 which links Merthyr Tydfil, Tredegar and Ebbw Vale. To get from Rhymney to Tredegar, however, you will have to get either bus 4 or bus 20: the latter has a terminus right outside Rhymney station and the bus is scheduled to run in time to connect with the train. There are also buses between Bargoed, Pontlottyn and Merthyr Tydfil.
HTIOU.
Dave