Well, he did it when he ran for Mayor in 2001 to the Democrats, and now he's done it to the Republicans: Mayor Bloomberg Quits the G.O.P.
“I have filed papers with the New York City Board of Elections to change my status as a voter and register as unaffiliated with any political party,” he said in a statement issued while he was in California delivering political speeches. “Although my plans for the future haven t changed, I believe this brings my affiliation into alignment with how I have led and will continue to lead our city.” The full text of his announcement is on the new City Room blog.
Although Bloomberg's announcement is newsworthy, it should hardly be a surprise given the way he has governed, and the hints he has dropped regarding his distaste for partisan politics.
I give him credit for his audacity, and for sticking to his principles... even if there is some measure of political calculation (2008 Presidential Election) involved.