Greek island favoured at first in my university (5)
I believe the answer is:
corfu
'greek island' is the definition.
(Corfu is a Greek island)
'favoured at first in my university' is the wordplay.
'at first' says to take the initial letters.
'in' is an insertion indicator.
'my' becomes 'cor' (both are expressions of surprise).
'university' becomes 'u' (abbreviation for university).
The first letter of 'favoured' is 'f'.
'cor'+'u'='coru'
'f' placed inside 'coru' is 'CORFU'.
(Other definitions for corfu that I've seen before include "One of the Ionian islands" , "holiday destination?" , "Major holiday island off west coast of Greece" , "Greek holiday island" , "Popular holiday island off West Greece" .)