I would argue that there are only two significant settings in this great novel, and that the second is far more important than the first.
The first setting is London, where Alun Weaver has spent the last thirty years building a successful television career.
The second setting, around which the novel is focused, is South Wales. It is to South Wales that Alun and his wife, Rhiannon, return after Alun's retirement. This novel focuses on the effect that Alun's return to South Wales has on the group of friends that he was at university with many years earlier—a group of friends who have become known as "The Old Devils."
The men who form part of the "Old Devils" group spend their days thinking back to better times and drinking heavily, all the while ignoring the contribution that liquor has played in the breakdown of the perfect lives about which they are reminiscing. Their wives, similarly, are known for their love of wine and gossip.
If one were to approach this question in a different light, it could be argued that the two main settings are Alun's career in London, where he was part of a lively, productive community, and retirement in South Wales, in which Alun becomes known as a notorious philanderer. In London, Alun mattered. In South Wales, nobody was particularly distraught after his sudden death.