Prior to the 1992–1993 season Cole was traded to the newly formed Tampa Bay Lightning and became part of the original Lightning roster. While with the Lightning Cole enjoyed his best season in the NHL, when he scored 43 points in 81 games during the 1993–1994 season. The 1994–1995 season saw Cole play the majority of the season with the Lightning before being traded to the New Jersey Devils. That year the Devils won the Stanley Cup and Cole had his name engraved on the Cup.