Middle English rein, from Old English regn "rain, descent of water in drops through the atmosphere," from Proto-Germanic *regna- (source also of Old Saxon regan, Old Frisian rein, Middle Dutch reghen, Dutch regen, German regen, Old Norse regn, Gothic rign "rain"), with no certain cognates outside Germanic, unless it is from a presumed PIE *reg- "moist, wet," which may be the source of Latin rigare "to wet, moisten" (see irrigate).
Rain dance "dance performed by a tribal group in hope of summoning rain" is from 1867; rain date in listings for outdoor events, giving an alternative date should rain interrupt them on the intended day, is from 1948. To know enough to come in out of the rain (usually with a negative) "take ordinary measures for one's protection" is from 1590s. Rain-shower is Old English renscur. Rain-gauge "instrument for collecting and measuring the amount of rainfall at a given place" is by 1769.
fifteenth letter of the alphabet, from a character that in Phoenician was called 'ain (literally "eye") and represented "a very peculiar and to us unpronounceable guttural" [Century Dictionary]. The Greeks also lacked the sound, so when they adopted the Phoenician letters they arbitrarily changed O's value to a vowel. (Thus there is no grounds for the belief that the form of the letter represents the shape of the mouth in pronouncing it.) The Greeks later added a special character for "long" O (omega), and the original became "little o" (omicron).
In Middle English and later colloquial use, o or o' can be an abbreviation of on or of, and is still literary in some words (o'clock, Jack-o'-lantern, tam-o'-shanter, cat-o'-nine-tails, will-o'-the-wisp, etc.).
O' the common prefix in Irish surnames is from Irish ó, ua (Old Irish au, ui) "descendant."
The "connective" -o- is the usual connecting vowel in compounds taken or formed from Greek, where it often is the vowel in the stem. "[I]t is affixed, not only to terms of Greek origin, but also to those derived from Latin (Latin compounds of which would have been formed with the L. connecting or reduced thematic vowel, -i), especially when compounds are wanted with a sense that Latin composition, even if possible, would not warrant, but which would be authorized by the principles of Greek composition." [OED]
As "zero" in Arabic numerals it is attested from c. 1600, from the similarity of shape. Similarly the O blood type (1926) was originally "zero," denoting the absence of A and B agglutinogens.
As a gauge of track in model railroads, by 1905. For o as an interjection of fear, surprise, joy, etc., see oh.
The use of the colloquial or slang -o suffix in wino, ammo, combo, kiddo, the names of the Marx Brothers, etc., "is widespread in English-speaking countries but nowhere more so than in Australia" [OED].