Capone with gun making you frightened? (7)
I believe the answer is:
alarmed
'frightened?' is the definition.
(alarming is a kind of frightening)
'capone with gun' is the wordplay.
'capone' becomes 'Al' (gangster Al Capone).
'with gun' becomes 'armed' (I've seen this before).
'al'+'armed'='ALARMED'
'making you' is the link.
(Other definitions for alarmed that I've seen before include "as a door handle may be?" , "Experiencing a sudden sense of danger" , "Worried" , "like Icarus as wax melted?" , "Anxious; disturb" .)