Fear of Capone with a gun? (5)
I believe the answer is:
alarm
'fear' is the definition.
(alarm is a kind of fear)
'capone with a gun?' is the wordplay.
'capone' becomes 'Al' (gangster Al Capone).
'with' says to put letters next to each other.
'a gun?' becomes 'arm' (gun is a kind of arm).
'al'+'arm'='ALARM'
'of' is the link.
(Other definitions for alarm that I've seen before include "Daunt" , "Trepidation" , "Anxious awareness of danger" , "Burglar deterrent" , "Frighten or startle" .)