This is my all-time favorite dessert. If you've never had it and you're in the Seattle area, go immedately to the 13 Coins Restaurant and try it! Very simple, but unbelievably rich and wonderful. A perfect end to a romantic dinner for two.
Beat the egg yolks and the sugar with a wire whisk until creamy.
Place in the top of a water-filled (about 1. 5") double boiler, over high heat.
Add the Marsala and continue to whip (don't stop whipping, or it will get lumpy!) until the zabaglione thickens- be careful not to overcook it, but you want it to be able to form soft peaks.
(Alternately, if you have a gas stovetop and a round-bottomed copper bowl with a handle, you can beat it over the flame until cooked and frothy.) Pour into a parfait glass (they let it ooze over the rim at 13 Coins, like a volcanic eruption of wonderfully molten custard) and serve hot!