Terrible place in the shade, say (5)
I believe the answer is:
Here is my best explanation:
'terrible place' is the definition.
'in the shade say' is the wordplay.
'in' says the answer is hidden in the clue.
'HADES' can be found hidden inside 'shade say'.
(Other definitions for hades that I've seen before include "The underworld where the souls of the dead live", "Classic hell in the shade", "Greek god of the underworld", "Greek underworld with spirits of the dead", "It's classical hell in the shade", "Hell of Greek myth", "gloomy place", "Inferno", "Underworld, hell" and "The nether world, hell".)