Working westwards:
Prestatyn is little more than a collection of caravan sites, with a few shops. Avoid
Rhyl is tatty. (OK, I admit to loving the place, but I've got some odd tastes!)
Colwyn Bay is a bit nicer, but I still wouldn't really recommend it.
Rhos-on-Sea is pleasant for people who like 'somewhere quiet'.
Llandudno has the most to offer. The bay is sheltered, making it something of a 'sun trap', away from the winds. There are more attractions than anywhere else on the North Wales coast:
http://www.visitllandudno.org.uk/
Chris