Fill a large saucepan with several inches of water, and bring to a boil over high heat. Reduce the heat until the water maintains a strong simmer. Place the egg yolks, Marsala wine, and sugar into a metal mixing bowl.

Place the bowl over the simmering water. Beat constantly with a wire whisk until the zabaglione turns pale yellow and thickens to the consistency of softly whipped cream.

Scrape the zabaglione into a clean mixing bowl and set over ice, stirring occasionally until cold.