An umbrella goes up when rain comes down. To solve this riddle, the person being questioned has to think about items that rise when rain is falling, aside from natural elements.
This particular riddle can have other answers that are equally as "correct" as "umbrella." Other things that go up when rain comes down include car windows and water levels.
Another riddle that involves rain is, "What do you find at the end of a rainbow?" which is answered with "The letter W."
Or, "What falls down but never stands up?" with the answer being "rain," because it falls but does not stand up.