To go wrong, in my case, is rather jolly! (5)
I believe the answer is:
merry
'jolly' is the definition.
('merry' can be a synonym of 'jolly')
'to go wrong in my' is the wordplay.
'to go wrong' becomes 'err' (I've seen this before).
'in' is an insertion indicator.
'err' put inside 'my' is 'MERRY'.
'case is rather' acts as a link.
This may not be correct. Some or all of it may belong to another bit of the clue.
Can you help me to learn more?
(Other definitions for merry that I've seen before include "Jovial" , "Lively -- slightly drunk" , "Full of fun and gaiety" , "Seasons 24" , "Joyous, cheerful" .)