[zah-bahl-YOH-nay] is a simple Italian dessert made of egg yolks, sugar and Marsala wine and served warm.  The French refer to this as Sabayon and it is used as a dessert or a sauce.   Other variations include the addition of whipped egg whites to lighten the dish, as well as a frozen version.

Zabaglione is said to have been invented in the 16th Century in Florence, Italy in the court of the Medici.   This dessert is classified as a "caudle" rather than a custard.  A "caudle" is a sauce used as a custard to fill pies or tarts.  The original pre-sixteenth century version was a drink made or wine or ale thickened with egg yolks. (Reference: Alan Davidson, Companion to Food).
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Place the egg yolks and the sugar in top of a double boiler and place on top of the bottom of the boiler. The water should be lightly boiling and the should not be touching the bottom of the top of the boiler. (You can also use a bowl over a large pot of boiling water. )

Use a wire whisk and whip the mixture until it is foamy. Then add the Marsala and continue to cook the mixture until it has doubled in volume Use an instant-read thermometer to insure the mixture has reached 140°F. Beat the mixture for additional minute or two.

Serve the zabaglione immediately. This dish looks quite elegant served in long stemmed wine or parfait glasses
Recipes From - The Gourmet Food And Cooking Resource