In shocking gale one must be nimble (5)
I believe the answer is:
agile
'nimble' is the definition.
(agile can mean nimble or athletic)
'in shocking gale one' is the wordplay.
'in' is an insertion indicator.
'shocking' indicates anagramming the letters (I've seen this in other clues).
'one' becomes 'i' (Roman numeral).
'gale' with letters rearranged gives 'agle'.
'agle' enclosing 'i' is 'AGILE'.
'must be' acts as a link.
(Other definitions for agile that I've seen before include "Moving quickly and easily" , "Spry - energetic" , "Nimble on the feet" , "Mentally acute" , "Nimble, supple" .)