It's a terrible thing to take a cudgel to a cabaret (9)
I believe the answer is:
nightclub
'a cabaret' is the definition.
('nightclub' can be a synonym of 'cabaret')
'it's a terrible thing to take a cudgel' is the wordplay.
'it's a terrible' is an anagram indicator.
'to take' says to put letters next to each other.
'a cudgel' becomes 'club' (I've seen this before).
'thing' anagrammed gives 'night'.
'night'+'club'='NIGHTCLUB'
'to' acts as a link.
(Other definitions for nightclub that I've seen before include "Place open late for entertainment, food and drink" , "Social venue" , "Where one might have room to swing" , "Hot spot" , "Haunt" .)