In a terrible gale, one needs to be nimble! (5)
I believe the answer is:
agile
'to be nimble' is the definition.
(agile can mean nimble or athletic)
'in a terrible gale one' is the wordplay.
'in' means one lot of letters goes inside another.
'a terrible' indicates an anagram.
'one' becomes 'i' (Roman numeral).
'gale' is an anagram of 'agle'.
'agle' placed around 'i' is 'AGILE'.
'needs' acts as a link.
(Other definitions for agile that I've seen before include "Quick to move" , "Flexible" , "Quick-moving, supple" , "Nifty" , "Nimble, quick-moving" .)