Fancy that man going after whiskey (4)
I believe the answer is:
whim
'fancy' is the definition.
(both can mean a notion or desire)
'man going after whiskey' is the wordplay.
'man' becomes 'him' ().
'going after' says to put letters next to each other.
'whiskey' becomes 'W' (phonetic alphabet: alpha, bravo, charlie etc.).
'him' after 'w' is 'WHIM'.
'that' is the link.
(Other definitions for whim that I've seen before include "Caprice, sudden fancy" , "Sudden odd desire" , "Fancy, notion" , "Capricious desire" , "Fad" .)