I really hope this is a lettuce; I've had a few leaves and apart from being a bit bitter they seem okay. And is it normal for a milky substance to come out of the stem (maybe I cut a bit close at Harvest time!)
Yes this is a lettuce that is "bolting" to seed, which means it is past its best and will be quite bitter. Lettuces like warm spring and summer weather and once the it cools and their season is over, they will try to flower and produce seeds for carryover to next year. That's what this one is doing. If you cut out the tall central shoots, you may be able to get another harvest from the outer leaves close to the ground but prepared for the fact that they won't taste as nice as they would over summer.
The white/milky sap is also perfectly normal.