By all means! run!
If you feel confident, by all means run! And, this is when you have to plan it. It's expensive, but worth it. start taling to people and see if you can generate some political donations. I've done it before on a Municipal level and won.
Again, if you have the money to start out with, and if you have a flexible job, or a boss who is a Republican, then deffinitly give it a shot.