Warning in the style of Royal Marines (5)
I believe the answer is:
alarm
'warning' is the definition.
(I've seen this in another clue)
'in the style of royal marines' is the wordplay.
'in the style of' becomes 'a la' (e.g. chicken a la King).
'royal marines' becomes 'RM' (abbreviation).
'ala'+'rm'='ALARM'
(Other definitions for alarm that I've seen before include "Tocsin" , "Flap" , "Distress signal" , "Scare with warning device" , "Mild panic" .)