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Place a fine-mesh sieve over a medium bowl; set aside.
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In a medium saucepan (off heat), whisk together sugar, cornstarch, egg yolks and salt. Gradually whisk in milk (1 tablespoon at a time to start) until smooth.
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Split vanilla bean lengthwise and scrape out seeds with the tip of a paring knife; add seeds and pod to milk mixture.
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Cook over medium-high, whisking occasionally, until the first bubbles appear on surface; continue to cook, whisking constantly, for 1 minute more. Pour pudding through prepared sieve into bowl; discard solids.
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Place plastic wrap directly on entire surface of pudding to keep skin from forming. Refrigerate until cold, at least 2 hours, and up to 3 days. To serve, whisk just until smooth, and spoon into individual serving dishes.