information; phobias

fear of thunder
Definition from here: Astraphobia / Astrapophobia refers to an abnormal and persistent fear of thunder and lightning. Also known as Brontophobia, or Ceraunophobia / Keraunophobia. (and yes, I used copy/paste)

Rikku got her fear of thunder when battling a water monster. Brother decided to save his beloved little sister, and cast a thunder spell. But, instead of hitting the monster, it hit Rikku instead.
It was all "Bzzzzzt!" if I may quote Rikku herself.

However, in FFX-2, she overcomes this fear by camping in the Thunder Plains for a week.

fear of the farplane
I've realised that in FFX-2 Rikku has developed another phobia to replace her now-gone fear of thunder. She is afraid of the farplane. Well, maybe not the farplane itself, but the death that reeks there. And after getting attacked by almost-dead people formed out of pyreflies I don't blame her.

In case you haven't noticed, she is constantly pleading Yuna to not to go to the Den of Woe and the Bevelle Underground anymore, because they remind her of the farplane and in both places they've been attacked by images of people they've known (Den of Woe: Gippal, Nooj Baralai | Bevelle: the Maesters).

Even in FFX Rikku refuses to go to the farplane, instead opting for waiting outside with an apple. Back then her reason was 'memories are nice, but that's all they are' - but it could be just her masking her fear.