And not the last (but not the first) direction (9)
I believe the answer is:
northeast
'direction' is the definition.
(I know that northeast is a type of compass point)
'and not the last but not the first' is the wordplay.
'and not' becomes 'nor' ('nor' means 'and also not').
'but not the first' means to remove the first letter.
'last' with its initial letter taken away is 'ast'.
'nor'+'the'+'ast'='NORTHEAST'
(Other definitions for northeast that I've seen before include "Compass point at 45 degrees" , "Belfast is located here" , "No threats (anag.)" , "Bearing of 45 degrees" , "Bearing of forty-five degrees" .)