Merriment entertains a rural deity (4)
I believe the answer is:
faun
'rural deity' is the definition.
(woodland spirit in classical mythology)
'merriment entertains a' is the wordplay.
'merriment' becomes 'fun' (synonyms).
'entertains' is an insertion indicator.
'fun' placed around 'a' is 'FAUN'.
(Other definitions for faun that I've seen before include "Roman deity, in the form of a man with a goat's horns, legs and tail" , "Ancient Italian deity with goat-like features" , "Mr Tumnus or his ilk" , "Rural deity, half-man, half-goat" , "Deity in human shape, with horns and a goat's tail" .)