Spoilers ahead for Stranger Things 3. Will's powers on Stranger Things started in Season 1, after he was taken into the Upside Down. The exposure to that underworld led to him having True Sight — aka visions of the Mind Flayer. In Season 2, the monster used this window into Will's brain to take control of his mind and body, but eventually, Will's mom was able to expel the monster, seemingly banishing it to the Upside Down after Eleven closed the door. However, as we see in Stranger Things 3, Will maintained an important connection to the Mind Flayer.
Much like Harry Potter's scar warned him of Voldemort's presence, the back of Will's neck now prickles whenever the monster is nearby and active. In Stranger Things 3, Will first feels the monster while watching a movie at Starcourt Mall. Later, he feels it in a field. Throughout the season, he experiences the same sensation whenever the monster is lurking. And Will says that it feels like much more than a neck prickle or a flash of pain across a lightning bolt scar.
"You know when you drop on a roller coaster?" Will explains in the fourth episode. "It's like everything in inside your body is just sinking all at once ... and your body goes cold and you can't breathe." Will says he used to feel it when the monster was close, but he also seems to feel it simply when the monster becomes active, possessing people and conducting other nefarious deeds.
This connection is not necessarily a sign that part of the monster is still in Will — it's more likely he has this power because the Mind Flayer we see in Stranger Things 3 was created from the same piece of monster that used to be inside of him. The original Mind Flayer was trapped in the Upside Down by Eleven when she closed the gate — but as the kids theorize, the piece of it that was in Will could have been trapped in Hawkins, since it left his body after the gate was closed. Only being a portion of the Mind Flayer is likely also why the monster needed to build an army of possessed humans and absorb them. It needed the extra people to make itself bigger, since it began as just a small piece of the original monster.
The Hollywood Reporter speculated after Season 2 that Will's powers were connected to his time in the Upside Down, and wondered if that meant Dustin and Hopper would also have them after their time in the Upside Down. Season 3 disproved that theory, but if possession is the reason why Will can feel the monster, he may lose that power in Season 4 now that the monster who inhabited him is dead. Will may be glad to be rid of that terrible "it's here" feeling, but if the O.G. Mind Flayer ever returns, the kids may not get a heads up until it's too late. That's the thing with powers — there are always pros and cons to having them. And now that Will doesn't necessarily have his anymore, he may soon wish that he did.