TO COOK THE ZABAGLIONE: Set up a double boiler or a medium-size stainless-steel bowl over a pot of simmering water. Check to make sure the bottom of the bowl is not touching the water, or the eggs may scramble.
With a hand held electric mixer, beat the egg yolks and sugar together until pale yellow.
Add the Marsala and set the bowl over the simmering water.
Continue to beat with the electric mixer until the eggs triple in volume, thicken and reach a temperature of 140 F., as registered on an instant thermometer. Be sure to beat the eggs until they reach this temperature at which salmonella bacteria is killed. This will take about 10 to 15 minutes. Be sure to move the beater around the bowl so the eggs cook evenly; there will be quite a bit of spattering.
TO SERVE THE ZABAGLIONE: Transfer the mixture to wine glasses and serve immediately accompanied by ladyfingers or Italian cookies known as "Savoiardi."
An alternative way to serve this is to take slices of pound cake or panettone and set them on a broiler pan. Cover the cake slices with a layer of sliced strawberries or peeled Comice pear, and ladle a portion of the zabaglione over the fruit. Broil the slices for a minute or until the zabaglione is bubbling and lightly browned.