Cream together egg yolks & sugar in a heatproof bowl set over a pot of simmering water. Add 1/3 cup of the marsala and continue to whisk until the mixture is thick and doubled in volume (I use my hand mixer for this so I don't get tired of whisking, and it gets more air into the eggs). Remove from heat, and stir in the mascarpone until completely blended.
In a chilled bowl, whip the heavy cream to soft peaks. Fold the whipped cream into the mascarpone mixture to lighten.
In a small saucepan, combine the espresso, chocolate, rum, vanilla, and remaining 2 Tbsp of marsala. Heat gently and stir to dissolve the chocolate. Then, chill the mixture to cool it down, about 15 minutes.
Quickly dip each lady finger into the coffe mixture and arrange ina single layer on the bottom of a 9x13 inch glass baking dish. Do not soak the cookies or they will become too moist. Spread half of the mascarpone cream evenly over the dipped lady fingers. Repeat with a second layer of dipped lady fingers and remaining macarpone cream.
Top with either cocoa powder or shaved chocolate. Refrigerate for at least 2 hours before serving so everything will set up. You can even make it the day before and the lady fingers will get soft and cake-like.