The first Welsh parliament was established by Owain Glyndwr (Owain Glendower) in 1404 in Machynlleth, a small town on the northwest coast of Wales, not far from Harlech Castle, which was his seat.

“In 1404, Glyndwr assembled a parliament of four men from every commot in Wales at Machynlleth, drawing up mutual recognition treaties with France and Spain.”  http://freepages.history.rootsweb.ancestry.com/~bowen/owainglyndwr.html

The Owain Glyndwr Centre exists now on the site of the building where this was established and Owain was crowned Prince of Wales.  http://www.canolfanglyndwr.org/

Background:

“Glyndwr was a member of the dynasty of northern Powys and, on his mother’s side, descended from that of Deheubarth in the south. The family had fought for Llywelyn ap Gruffydd in the last war and regained their lands in north-east Wales only through a calculated association with the powerful Marcher lords of Chirk, Bromfield and Yale and the lesser family of Lestrange. They thus rooted themselves in the Welsh official class in the March and figured among its lesser nobility …

In 1399-1400 Glyndwr ran up against his powerful neighbor, Reginald de Grey, Lord of Ruthin, an intimate of the new king, Henry IV. The quarrel was over common land which Grey had stolen. Glyndwr could get no justice from the king or parliament. This proud man, over forty and grey-haired, was visited with insult and malice. There are indications that Glyndwr made an effort to contact other disaffected Welshmen, and when he raised his standard outside Ruthin on 16 September 1400, his followers from the very beginning proclaimed him Prince of Wales.

The response was startling and may have even startled Glyndwr himself. Supported by the Hanmers, other Norman-Welsh Marchers and the Dean of St Asaph, he attacked Ruthin with several hundred men and went on to savage every town on north-east Wales. There was an immediate response from Oxford, where Welsh scholars at once dropped their books and flocked home. Even more dramatic was the news that Welsh laborers in England were downing their tools and heading for home. The English Parliament at once rushed ferociously anti-Welsh legislation on to the books. Henry IV marched a big army right across north Wales, burning and looting without mercy. Whole populations scrambled to make their peace. Over the Winter, Glyndwr, with only seven men, took to the hills …

For the Welsh, it was a Marcher rebellion and a peasant’s revolt which grew into a national guerrilla war. The sheer tenacity of the rebellion is startling. Few revolts in contemporary Europe lasted more than some months; no previous Welsh war had lasted much longer. This one raged in undiminished fury for ten years and did not really end for fifteen.”  http://freepages.history.rootsweb.ancestry.com/~bowen/owainglyndwr.html

“In the early 15th Century the Welsh were fired by anti-English feeling after much of the country had been subjected to centuries of their rule and Glyndwr mobilised this national sentiment  … Backed by French military aid, Glyndwr took Carmarthen and Cardiff in 1403 from the English and Harlech and Aberystwyth in 1404.”  http://news.bbc.co.uk/2/hi/uk_news/wales/north_west/3698635.stm

“In 1404, to demonstrate his seriousness as a ruler, Owain held court at Harlech and appointed the brilliant Gruffydd Young as his Chancellor. Soon afterwards, he called his first Parliament (or more properly Cynulliad or “gathering”) of all Wales at Machynlleth where he was crowned Prince of Wales and announced his national programme. He declared his vision of an independent Welsh state with a parliament and separate Welsh church. There would be two national universities (one in the south and one in the north) and return to the traditional law of Hywel Dda. Senior churchmen and important members of society flocked to his banner. English resistance was reduced to a few isolated castles, walled towns and fortified manor houses … http://en.wikipedia.org/wiki/Owain_Glynd%C5%B5r

Shades of Llywelyn ap Gruffydd, who had planned to divide up England and Wales between himself, Simon de Montfort, and Gilbert de Clare in the 13th century, “Owain demonstrated his new status by negotiating the “Tripartite Indenture” with Edmund Mortimer and Henry Percy, Earl of Northumberland. The Indenture agreed to divide England and Wales among the three of them. Wales would extend as far as the rivers Severn and Mersey including most of Cheshire,Shropshire and Herefordshire. The Mortimer Lords of March would take all of southern and western England and the Percys would take the north of England.^[7] Although most historians have dismissed the terms of the Indenture as being highly ambitious and fanciful, R. R. Davies noted that certain internal features underscore the rootedness of Glynd?r’s political philosophy in Welsh mythology: in it, the three men invoke prophecy, and the boundaries of Wales are defined according to Merlinic literature.”  http://en.wikipedia.org/wiki/Owain_Glynd%C5%B5r

A timeline for the revolt is here:  http://www.timeref.com/thr00005.htm