Musical works in which Hamlet's friend's first to go burying gold (9)
I believe the answer is:
oratorios
'musical works' is the definition.
(oratorio is a type of musical work)
'hamlet's friend's first to go burying gold' is the wordplay.
'hamlet's friend's' becomes 'Horatio's' (character in Shakespeare's Hamlet).
'first to go' means to remove the first letter.
'burying' indicates putting letters inside.
'gold' becomes 'or' ('or' is the heraldic name for gold).
'horatios' with its first letter removed is 'oratios'.
'oratios' going around 'or' is 'ORATORIOS'.
'in which' acts as a link.
(Other definitions for oratorios that I've seen before include "Musical compositions based on religious texts" , "orchestral and choral pieces" .)