Clue: Was one at Waterloo, say? There we sat, nervously, following Napoleon's lead (11)
Answer: NEWSTHEATRE
Explanation: Definition: Was one at Waterloo, say?
***(there we sat)** [anag:*nervously*] *following* **N**(apoleon) [*'s lead*] 
*In 1815, Waterloo would have been a newstheatre in the same way as Durham, Barnard Castle or the back garden of 10 Downing Street has been this week.