Terrible place in the shade, say (5)
I believe the answer is:
hades
'terrible place' is the definition.
'in the shade say' is the wordplay.
'in' says the answer is hidden in the clue.
'HADES' can be found hidden inside 'shade say'.
(Other definitions for hades that I've seen before include "Classical underworld" , "Infernal situation" , "In Greek myth, the Underworld" , "gloomy place" , "Hell of Greek myth" .)