Prepare a bowl with ice and place it in the freezer for later.
Poor the Marsala wine into a sauce pan and add half the sugar. Cook over low heat just until the sugar melts.
Heat water in the lower half of the bain-marie (without the top portion) until boiling.
In the top portion, before you place it over the bottom, add the egg yolks and the remaining sugar and mix together well with a whisk. Now add a ladle of the hot sweet wine and mix again.
Now place the top portion over the bottom portion (so it is over simmering water) and add the remaining wine, while whisking continuously.
Continue whisking and the cream will begin to thicken and start to look smooth instead of frothy. If desired, you can add a tiny pinch of freshly grated nutmeg at this point.
Keep whisking until the mixture is a pale yellow and has doubled in volume (or more!) and the egg cream remains in the whisk when lifted. Remove from heat.
Remove the bowl with ice from the freezer and place another clean bowl inside. Pour the egg cream into the empty bowl and stir gently with a spatula for several minutes until the egg cream cools a little so that a film will not form on top.
Pour the mixture into four martini glasses or other fun single-serving dishes and serve with fresh fruit (like fresh strawberries or other fresh berries) or cookies (like amaretti cookies or ladyfingers) and serve immediately while still warm.
Notes
Serve your zabaglione classic Italian dessert with crushed amaretti cookies on top to match the style of the picture above. Some do recommend this dessert be served cold, and while this isn't our preference you can try it and see what you prefer.Top with whipped cream, or fresh fruit.