Looks like Euphorbia. Does it ooze a white milky sap if you pull a leaf off?

I haven't tried, but from googling it does look exactly like pictures of Euphorbia lathyris - thanks!

I see that it's poisonous and is sometimes considered a weed. Is it something I should get rid of (we don't have small children or pets who might be tempted to nibble on it)?

It is often sold as a mole or gopher deterrant/repellant. I suspect its effectiveness is a bit over-rated :-)

A good many different types of euphorbias are sold as garden ornamentals - all have caustic sap and varying degrees of toxicity. Your Christmas poinsettia is a type of euphorbia.

Thanks. I like its slightly odd look, so I'll keep it and not touch it!

I don't consider it a weed in my garden. A sister (E. marginata) IS! And won't ever plant that in my garden.

I had some like yours, let all seeds drop in the fall and ... just one tiny seedling in the spring.
I am deliberately sowing more seeds!
It does have a nice look about it!