Place the egg yolks and sugar in a heatproof bowl and whisk with a hand-held electric mixer or a balloon until thick and pale. Gradually whisk in the marsala.
Place the egg bowl over a saucepan or double boiler , of gently simmering water; the bottom should not touch the water under any circumstances, and do not let the water boil.
Whisk the mixture until glossy, soft, and foamy. Continue beating until it begins to bubble. This will take about 5 minutes.
Serve immediately in glasses with a lady's finger for dipping.
Giangi's Kitchen provides nutritional information, but these figures should be considered estimates, as a registered dietician does not calculate them.