This Rhiannon Lead Guitar Parts Video Lesson goes over some of the cool phrases found in the Fleetwood Mac classic.
All the lines in the song are based on the A minor scale, which shares the same notes as the C major scale.
See my other video lesson on the C Major Scale for a good foundation for using this scale.
NOTE: The lesson starts out with a pretty complex guitar part that I don't expect you to play. But I'm showing a close-up of the fingering just in case you are able to pick it up.
Don't be too concerned if you aren't able to play this part: the recording actually features two separate guitars playing this part. The main guitar part is shown in detail.