Fill a saucepan with 1–2 inches of water and bring it to a simmer. Set a heat-proof bowl on top, making sure the bowl’s bottom doesn’t touch the water.
Whisk together egg yolks, sugar, and salt in the bowl for about a minute, until well mixed.
Slowly add Marsala wine and vanilla extract. If you’re using Cognac or brandy, toss it in now.
Keep whisking the mixture over the simmering water. You want it to thicken into a light, airy custard—usually takes about 5–7 minutes.
Take it off the heat once it’s foamy and thick enough to coat the back of a spoon.
Pour the zabaglione into a chilled cocktail glass.
Grate nutmeg or chocolate on top before serving. Serve it right away while it’s warm, or chill it for a cold version if that’s your thing.
I always whisk fast to keep the eggs from scrambling. Watching the consistency is key—it should be light and fluffy, not soupy.