Saturday's clash at the Emirates sees first take on third and a win for Southampton could see the men from St Mary's go to the summit of the Premier League.
England new boy Lallana is confident they can go to Arsenal and get a result after picking up positive results at Anfield and Old Trafford already this season.
"We've got a tough game at the weekend and I'm thoroughly looking forward to that," Lallana told the club's official website.
"We've got a busy December coming up, so I'm happy that I'm fully-fit. I'm just really looking forward to getting in amongst it this weekend at the Emirates.
"It's a massive game. It's top versus third so why can't we go there and get a result?
"We've done it at Old Trafford and at Anfield already this season, so the lads will be full of confidence and I'm really looking forward to it."
Southampton striker Lambert claims they will make the trip to North London full of confidence having enjoyed their best ever start to a Premier League campaign.
"We're going to go there confident," noted Lambert. "We know it's going to be one of our hardest tests to-date because Arsenal are playing well at the minute.
"It's going to be tough, but we're confident that we can go there and get something."