Lobelia syphilitica, a lovely native plant that likes moist conditions and is often used in rain gardens. (It was given that species name because long ago it was thought to help cure syphilis.) Cool volunteer!

Here is a link that might be useful:

Very pretty! I think I'd have kept it even if someone told me it was a weed :-)

Thank you so much, bitterwort! I just read up on it. Very interesting. I'm still wondering how it got there (in the exact same place as my Lilium). I wonder what will show up in the mystery spot next summer! The only down side is that I did read it is poisonous. Maybe that is why the rabbits leave it alone! I hope that is not a concern. It came with a warning on this site:
http://www.enature.com/fieldguides/detail.asp?recnum=WF0073

If you had small children who habitually ate plants in the yard, toxicity might be an issue... but then many plants are poisonous, probably including the lily you originally planted (at least many things in the lily family are poisonous). Tomatoes and rhubarb leaves are poisonous too, but most people don't worry about them. I'd say enjoy your plant. (As to how it got there, it probably came as a seed or weed in the pot you planted--I've had many pleasant surprises like that.)