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I'm not familiar with rocket, is it a wild plant?

Not sure if it grows wild by you, but it could. It is also very cultivated...

That must be the young dandelion leaves, there are lots of them here right now, very similar leaf structure to your rocket.
The dandelion leaves are kind of bitter, I throw them and most of these greens into a kefir smoothie with honey and a banana, and usually a carrot. Spinach I usually eat straight from the garden, it rarely makes it back to the house!

Rocket almost has a peppery taste and is great in a leafy salad...

Yes same here (but I make sure to plant extra for the table LOL) especially baby spinach!