Dance to terribly sad songs (7)
I believe the answer is:
ballads
'songs' is the definition.
(ballad is a kind of song)
'dance to terribly sad' is the wordplay.
'dance' becomes 'ball' (ball is a kind of dance).
'to terribly' indicates anagramming the letters.
'sad' is an anagram of 'ads'.
'ball'+'ads'='BALLADS'
(Other definitions for ballads that I've seen before include "Popular songs" , "Soppy songs!" .)