The Thunder Helm
You need to have calmed Divine Beast Vah Naboris first. Learn more about it here. Afterwards, go up to the Thunder Helm that Riju now keeps by her side and press [A] to "Examine" it.
Riju will ask about your interest in the Thunder Helm. Tell her you want her to loan it to you and she says that she will, if you can gain the trust of the Gerudo by helping the local civilians.
To complete the Thunder Helm, you will need to complete a short list of sidequests. Click on any of these to go to their pages and learn how to complete them:
After you have completed all of these sidequests, talk to Riju again and she will loan (for gameplay purposes though, it's basically yours) you her precious Thunder Helm. Congratulations, you now can get struck by lightning and take no damage! Unfortunately, you also cannot upgrade the Thunder Helm using the Great Fairy Fountains either. But hey, it's still cool.
Note: Wearing the Thunder Helm and equipping something metal is a legitimate strategy you can use to kill enemies during thunderstorms. Get close to them while you spark and watch things die.