Fancy woman's first to get that fellow (4)
I believe the answer is:
whim
'fancy' is the definition.
(I've seen this before)
'woman's first to get that fellow' is the wordplay.
'first' suggests taking the first letters.
'to get' means one lot of letters go next to another.
'that fellow' becomes 'him' (**).
The initial letter of 'woman' is 'w'.
'w'+'him'='WHIM'
(Other definitions for whim that I've seen before include "Fanciful idea" , "Sudden impulse" , "Sudden odd desire" , "fantastic creation from the past" , "Impulse or caprice" .)