Set aside 1 cup of the flour.
Mix the remaining flour, yeast sugar and salt in a large bowl.
In a smallish saucepan, heat the water, milk and 1/4 cup butter or margarine until hot to touch (but not boiling). Remove from the heat and stir the hot liquid into the dry ingredients. Only at the end should you mix in the egg.
Finally mix in enough of the reserved flour ( add a flour a little at a time until the right consistency is reached) to make a soft (but not sticky) dough. Knead for about 5 minutes, then place in a lightly oiled bowl, turn to coat, and cover. Let it rest, covered, for 10 minutes.
Turn the dough out onto a floured tabletop, and roll it out into a rectangle. Mix together the softened butter or margarine, with the cinnamon. Then spread this paste fairly evenly over the surface of your rectangle of dough.
Roll up the dough, jelly-roll fashion, and pinch the seams and ends to seal.
Form into a the length and shape of a loaf and place it into a greased loaf pan. Cover and let it rose for about 20 minutes. (Or, you can split the roll in two and twist them together for a really impressive cinnamon loaf!).
Bake at 375 F (190 C) for about 20 minutes or until deeply browned. Cool on a rack, removing from the loaf pan after 10 minutes of resting. Amazing!