'He was the sort of person who stood on mountaintops during thunderstorms in wet copper armour shouting 'All the Gods are bastards.' - Terry Pratchett
If you're encased in copper, wet or not, you have a fair chance. The copper provides a conductive path around you that is better than through you.
Lightning rods and their cables also get wet, and are touching the building, which is also wet.
Only if the copper creates a contiguous channel around you. If you wore armour like say the old Greek breastplate-and-shinguards, there's a lot of space to travel with no copper conduit. Likewise the helmet may not be in contact with any of the other armour, so the next port of call for the electron stream is your scalp...
I don't know. The armor is a bit too close to the skin for comfort. There will be quite a bit of heat dissipated, to say nothing of purely mechanical shockwaves and deafening noise.
I wonder if Terry knew that and had taken into account. Even if he didn't, it resonates strongly with the audacity implied.
"He says gods like to see an atheist around. Gives them something to aim at."