A play to approach with extreme dismay (6)
I believe the answer is:
comedy
'a play' is the definition.
(I know that comedy is a type of play)
'approach with extreme dismay' is the wordplay.
'approach' becomes 'come' (e.g. as imperative).
'with' means one lot of letters go next to another.
'extreme' means to remove the middle letters.
'dismay' with its centre removed is 'dy'.
'come'+'dy'='COMEDY'
'to' is the link.
(Other definitions for comedy that I've seen before include "Play with happy ending" , "Humorous entertainment" , "Play about identical twins" , "Play with two sets of twins" , "farce, perhaps" .)