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Heat a large pot halfway with water. Your mixing bowl should be able to sit on top of it without touching the water.
Add the egg yolks and sugar to a large mixing bowl. Whisk together with an electric whisk until pale and thick.
Place the bowl on top of the pot of hot water making sure the bowl doesn't touch the water.
Add the marsala and continuously mix with a hand whisk until the mixture has doubled in size and thickened into a custard (this can take 5-10 minutes).
The zabaglione is ready when you can draw a ribbon that holds its shape for a few seconds. If it disappears immediately it's not ready, turn up the heat and keep whisking.
Once ready, pour into serving glasses and serve immediately with Savoiardi biscuits or fruit or chill in the fridge until ready to serve.