Instrument taking part in impromptu band (4)
I believe the answer is:
tuba
'instrument' is the definition.
(I know that tuba is a type of instrument)
'part in impromptu band' is the wordplay.
'part in' indicates the answer is hidden within the clue.
'TUBA' is hidden within 'impromptu band'.
'taking' acts as a link.
(Other definitions for tuba that I've seen before include "Musical instrument -- 5 (rev)" , "Noisy instrument" , "A bass instrument" , "part of 14 [ORCHESTRA] ?" , "Player" .)