Thrill being captivated by umpteenth rally (7)
I believe the answer is:
enthral
'thrill' is the definition.
'captivated by umpteenth rally' is the wordplay.
'captivated by' indicates a hidden word.
'ENTHRAL' is hidden in the letters of 'umpteenth rally'.
'being' is the link.
(Other definitions for enthral that I've seen before include "give a spell-binding performance" , "hypnotise" , "Bewitch" , "Hold captive" , "Totally fascinate" .)