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!