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Combine sugar and egg yolks in the top of a cold double boiler and whisk vigorously.
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Whisking continuously, add marsala to the eggs and sugar.
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Make sure that the water in the bottom of the double boiler does not touch the bottom of the top pot. You want to cook OVER the heat, not in it.
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Turn on the heat and gently bring the water to a simmer underneath the zabaglione while you whisk the mixture constantly (I told you there'd be lots of whisking!). Be careful, heating too quickly will make your mixture too runny, while heating it too slowly will make it too thick and it will curdle. The whole process will take about 5-10 minutes.
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Keeping an eye on your thermometer, bring the zabaglione to 160°F (71.1°C).
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The zabaglione should increase in size and become lighter and fluffier. If you think it's heating too quickly, just remove it from the heat and whisk to incorporate more air before putting it back on.
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You'll know it's finished when it reaches a custard-like consistency, mounding when you pour it off a spoon.
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OPTIONAL 8) if you want a lighter version of the recipe, fold in whipped egg whites at the end.
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Serve hot, cold, with whipped cream, meringue, fruit or over angel food cake (my personal favourite). Enjoy!