Use a lot of rings when fighting Bloody Mary. One of them will destroy her after approximately five times.
When Dark Gaia attacks with the lightning, have your Ring Box equipped. Use the "Block" command then press the "Use Item" command, but do not press anything else. The ring will come up, yet the lightning will continue to decrease, leaving you unharmed. You may suffer only about 1 to 6 damage with a lightning attack.