I would think a good thesis statement would depend on what you wish to prove about Claudius.
Perhaps a good place to start would be the idea of power and what men, in this case Claudius, do to get power and retain that power.
Ask yourself questions about the character. Does Claudius love Gertrude or is she just a means to an end? Is he a good king? Was Hamlet's father a good king? Why is Claudius king and not Hamlet who is the prince? What lengths does Claudius go to neutralize Hamlet? Is Claudius a smooth talker, able to manipulate people?
The answers to the questions above and others will help you discover what you wish to prove about Claudius. The result should be a strong and provable statement.