Lazio, who stepped out of politics a decade ago to work in the banking industry, said Republicans have Democrats to thank for the opportunity.
Considered almost irrelevant after losing their last bastion of power in November's elections, the Republicans are mounting a campaign against the record spending and taxes as well as high-profile criminal cases and internal fights confronting the Democrats.
Former Republican Gov. George Pataki is also considering a congressional run and former New York City mayor Rudy Giuliani is seriously considering a run for governor.
Democrats have a voter enrollment advantage and control all statewide offices, the Senate and Assembly.
A recent Marist poll found that Giuliani would thrash Lazio 83 percent to 13 percent in a hypothetical 2010 Republican gubernatorial primary.