Place the egg yolks and sugar in a heatproof bowl. Split the vanilla pod lengthways, scrape out the seeds, add to the bowl and whisk together. Place the bowl over a saucepan of gently simmering water, taking care that the bottom of the bowl does not touch the water.
Add the marsala and whisk continuously with a hand-held electric whisk for 5–8 minutes until the mixture is frothy and thickened. It should leave a trail when you remove the beaters. Pour into glass serving bowls and serve with biscotti.