Yeah, lizards are cool. We have lots of little ones around here, no iguanas. I don't think they are herbivores, which makes them my friends in the garden.
The Euphorbias I would recommend (in addition to the crown of thorns) include, in no particular order
trigona (highly branched shrub for years, eventually a tree)
tirucalli (orange version is a shrub, green version becomes a tree)
polygona (cactus-like clumper) & its kin horrida and anoplia
susannae (many bumpy stems in a mound)
bupleurifolia (small deciduous caudiciform)
flanaganii (most common medusa)
resinifera (mound-forming, very impressive with age)
makallensis (similar habit to previous)
grandicornis (big-horn spines, forms large well-armed shrub)
But I have no idea about their cold tolerance. You might want to check out this article on the subject.
And it's probably a good idea to point out that the succulent Euphorbias which taste bad to bunnies can also be a bit hazardous to humans. Avoid touching the sap and especially getting it in your eyes. Of the above plants I would think the most hazardous in this respect would be tirucalli and resinifera.
The latter makes a compound called resiniferatoxin which acts like the active ingredient in hot peppers (causing the same sensation of heat), but several hundred times stronger... it is in fact the most potent agonist of the relevant receptor known to science. A little nerd fact for you there about the succulent Euphorbias. Hotter than the hottest chile! Anyway, interesting side note here, that class of chemicals apparently has no effect on birds (who presumably spread the seeds), which I would imagine does not bode well for them working on iguanas. Only one way to find out I suppose.
