Here’s a good source of references and a breakdown of Immortan Joe’s costume. In the movie itself, they used vacuum-formed clear industrial plastic, which if you have the resources would be the way to go – but otherwise TranspArt would be a great place to start. Ryan Wells recently created an awesome Immortan Joe cosplay, and he used TranspArt for the armor so you can see it in action!
A word of warning, though: TranspArt is very thin and doesn’t become sturdy/rigid like Worbla after it cools down. While it will retain the shape it’s formed into, It remains extremely flexible. It’s also much harder to work with than Worbla, as it’s less forgiving as far as melting/retaining fingerprints/tearing/etc. If you make a mistake, it’s harder to come back and repair. Worbla doesn’t stick to it, and if you want to layer two pieces together, you’ll need to glue them.
TranspArt is a great alternative for those of us who can’t get our hands on a professional vacuum-forming table. But definitely practice with the stuff before you start on your big project so you can get a firsthand feel of how to handle it. (Also buy yourself a temperature gun so you can monitor the temp of the piece as you heat it; it reaches that melting point a lot sooner than Worbla, and it’ll go from a solid sheet to “plastic wrap” in a matter of seconds if you’re not being careful.)
Kamui has a great video on TranspArt here, and I’d also suggest checking out this video from heatgunning. (Really, though, check out that entire blog. It’s an amazing collection of resources for thermoplastics!)