Crossword setter included first and last letter in puzzle (4)
I believe the answer is:
maze
'puzzle' is the definition.
(maze can mean a puzzling situation)
'crossword setter included first and last letter' is the wordplay.
'crossword setter' becomes 'me' (referring to the person writing the clues).
'included' is an insertion indicator.
'first' becomes 'a' (first letter of the alphabet).
'and' is a charade indicator (letters next to each other).
'last letter' becomes 'Z' (last letter of the alphabet).
'a'+'z'='az'
'me' placed around 'az' is 'MAZE'.
'in' is the link.
(Other definitions for maze that I've seen before include "It's easy to get lost in one" , "Network of hedges to get lost in" , "Complex network" , "A famous one is at Hampton Court" , "Labyrinth, tangle" .)