You can find Zant's Helmet in a Treasure Chest (Scorching Coliseum). Zant's Helmet can be purchased (or repurchased once initally found for the first time) in the following shop locations: ...

Zant isn't the primary antagonist of Twilight ... but her presence is most strongly felt in Termina during Majora's Mask. That alone makes her an interesting figure, because she's the only deity ...