Birds fancy heading south east (5)
I believe the answer is:
geese
'birds' is the definition.
(goose is a kind of bird)
'fancy heading south east' is the wordplay.
'fancy' becomes 'gee' (both are exclamations of surprise).
'heading south' becomes 's' (abbreviation).
'east' becomes 'e' ('E' can be a synonym of 'east').
'gee'+'s'+'e'='GEESE'
(Other definitions for geese that I've seen before include "Birds; silly people" , "Ganders" , "Long-necked, migratory aquatic birds" , "Domesticated birds" , "They come in gaggles and skeins" .)