Way out of perplexity (4)
I believe the answer is:
exit
'way out' is the definition.
('exit' can be a synonym of 'way out')
'of perplexity' is the wordplay.
'of' says the answer is hidden in the clue.
'EXIT' is hidden within 'perplexity'.
(Other definitions for exit that I've seen before include "Road leaving motorway" , "Actor's departure" , "Depart" , "Departure of actor" , "Move out" .)