Olga (Ольга) is the Russian form of the Scandinavian feminine name Helga, which derives from Old Norse heilagr "lucky, healthy", or "holy, blessed" (the original meaning was extended after the advent of Christianity).
If you're lucky enough to be called Olga, you're indeed blessed with a whole range of lovely diminutives, e.g.
Russian: Olgunya (Ольгуня), Olya (Оля), Olyusha (Олюша)
Polish: Ola, Oleńka, Olesia
Also, you can celebrate your name day on 11 July (or 24 July if you're an Old Calendarist) as it is the feast day of Saint Olga, or to give you her full title as used by Eastern Orthodox Church: "Blessed Equal-To-The-Apostles Olga, princess of Russia, named Helen in holy Baptism". So much for diminutives.
Olga (d. 969) was a ruler of Kievan Rus, who had to juggle her time between avenging the death of her husband and trying to convert her subjects to Christianity. I suspect that like every career woman she felt undervalued and unappreciated but at least after her death her evangelising efforts got recognised and she was duly canonised. Way to go, sister!
As it is 11 July today, I'd like to celebrate by mentioning my three favourite fictional characters named Olga:
1. The eldest sister in Anton Chekhov's play Three Sisters. She's a 28-year-old spinster and a teacher. You can't but feel for the girl.
2. One of the Grand Light Sorceresses in Sergei Lukyanenko's Watch tetralogy. As a sorceress, she's cool by definition. Even though she starts off as a stuffed owl.
3. The guinea pig in Michael Bond's series The Tales of Olga da Polga. She may not be as famous as Michael Bond's other creation, Paddington Bear, but that's only because there's a worldwide conspiracy to suppress hard-working rodents in favour of cuddly opportunists.