Wild party in Madeira venue (4)
I believe the answer is:
rave
'wild party' is the definition.
(a dance party)
'in madeira venue' is the wordplay.
'in' indicates the answer is hidden within the clue.
'RAVE' is hidden in the letters of 'madeira venue'.
(Other definitions for rave that I've seen before include "Wild party; go mad" , "Rage" , "Fume" , "Talk wildly, rant" , "Laudatory sort of review - quite a rant" .)