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The three-part drama - which will air over three consecutive evenings this week - is based on the real life murders of married couple Peter and Gwenda Dixon, as well as siblings Richard and Helen Thomas, in the 1980s.
But what exactly happened all those years ago?
Well, at the centre of what happened is serial killer John Cooper (played by Keith Allen in the ITV drama) who was convicted for a number of burglaries in 1998.
But his crimes were actually far more sinister. In fact, he had committed a series of murders and rapes, which he wouldn't be found guilty of for many years.
Cooper's first known murder victims were Richard Thomas and his sister Helen, who lived in a mansion in Milford Haven. It was 1985, and after breaking into the property, Cooper killed both Richard and Helen, with both being found days later with point blank shotgun wounds.
Although a team of 100 officers worked on the case, the killer was never found.
Four years on from the devastating crime and a second case followed, when husband and wife Peter and Gwenda Dixon were murdered while on holiday.
The couple, from Oxfordshire, had been walking along the Pembrokeshire Coastal Path when they encountered Cooper. They were shot at close range, but only after Cooper had stolen Peter's wedding ring and wallet.
He was seen trying to withdraw cash at an ATM using Peter's bank card not long afterwards. But again, police were unable to catch the killer, despite a huge TV appeal on BBC's Crimewatch.
Both cases remained unsolved, until 2006, when Detective Superintendent Steve Wilkins (Luke Evans) returned to Dyfed-Powys police after taking two years out to work with the National Criminal Intelligence Service.
Armed with knowledge that a number of cases had been solved recently thanks to more advanced DNA methods, Steve decided to delve into some unsolved crimes in Pembrokeshire, known as Operation Ottawa.
The double murders from the 1980s were included as well as another incident which took place in 1996, in which five teenagers were attacked, with one raped and another sexually assaulted.
As viewers saw in the first episode of Pembrokeshire Murders, Steve immediately suspected Cooper for the crimes, but at the time, he was up for parole from his conviction in 1998.
Working night and day to find evidence against Cooper, one key piece of the puzzle came when the police discovered Cooper had been a contestant on ITV game show, Bullseye.
Using a tape of the programme, they noticed a striking resemblance between the younger Cooper and an artist's impression of the killer that had been created at the time from eye witnesses.
But the most compelling evidence came thanks to the ever advancing DNA profiling. Police found a pair of khaki shorts taken from Cooper's home had a tiny drop of Peter Dixon's blood, trapped in the hem where his wife Pat had turned up the seams.
The shorts themselves matched witness testimony from when Cooper had withdrawn money from the ATM, and it also explained why they were now shorter than what was first reported.
Added to this, police also found the shotgun, which was discovered to have traces of Peter's blood. With enough evidence to charge Cooper, he was convicted of the two murders, as well as the rape and sexual assault from the incident in 1996.
He denied the charges, but was sentenced in 2011. Cooper, now 76, still remains in jail - at an undisclosed location - to this day.
The Pembrokeshire Murders continues this evening, at 9pm on ITV.
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