My word is annoying you at first (1,3)
I believe the answer is:
i say
'my word' is the definition.
'is annoying you at first' is the wordplay.
'at first' suggests taking the first letters.
The first letters of 'annoying you' is 'ay'.
'is'+'ay'='I SAY'
(Other definitions for i say that I've seen before include "That is surprising!" , "Dear me!" , "Comment from protestor" , "Exclamation of surprise" , "goodness!" .)