Initially with army -- Royal Marines not cool? (4)
I believe the answer is:
warm
'not cool?' is the definition.
('warm' is the opposite to 'cool')
'initially with army royal marines' is the wordplay.
'initially' suggests taking the first letters.
'royal marines' becomes 'rm'.
The initial letters of 'with army' is 'wa'.
'wa'+'rm'='WARM'
(Other definitions for warm that I've seen before include "Affectionate - balmy" , "Cordial" , "Near to finding hidden object" , "Getting close to target" , "easily aroused" .)