Song of mourning, for instance, penned in a famous cathedral (5)
I believe the answer is:
elegy
'song of mourning' is the definition.
(I've seen this before)
'for instance penned in a famous cathedral' is the wordplay.
'for instance' becomes 'eg' ('e.g.' can be a synonym of 'for instance').
'penned in' means one lot of letters goes inside another.
'a famous cathedral' becomes 'ely'.
'eg' inserted inside 'ely' is 'ELEGY'.
(Other definitions for elegy that I've seen before include "Dirge" , "Requiem" , "Poem lamenting the dead" , "Poem of mourning" , "lines of regret" .)