Instructions
Equip a high-level bow or mid-level bowgun. Having access to protection (a shield) will make this fight a bit easier.
Maintain a safe distance. You want to fight a ranged battle with Khezu when it is in the air. Use the bowgun to nail it with bombs when he lands. You can also use the blade to attack the legs when it lands (try the combination of "triangle, triangle and x").
Move around when you're shooting it. When Khezu goes into "rage mode", its "Electric Coat" will add additional damage to its attacks.
Continue with a pattern of bowgun, slash, and bomb to the head until Khezu is dead. No matter in which area you fight Khezu, it will always develop an attack pattern. Learning to capitalize on the weakness in the pattern is the easiest way to defeat not only Khezu but any other boss character in the game.