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In a medium bowl, whisk together sugar and egg yolks until lighter in color, about 2 minutes.
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In a saucepan over medium heat, bring milk and cream to just a simmer (it begins to bubble at the edges - do not boil).
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Use a ladle to add a little of the cream to the egg yolks/sugar. Whisk constantly while adding. Continue adding cream until at least half has been mixed in. Add the mixture back to the pan and whisk to combine.
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Over medium heat and stirring constantly, cook mixture until it reaches 175°F.
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Pour mixture into a medium bowl. Stir in Marsala and vanilla.
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Cover mixture directly on top with plastic wrap to prevent a skin from forming. Cool to room temperature then chill overnight.
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Pour chilled mixture into an ice cream maker and freeze according to the manufacturer's instructions. Transfer gelato to a container, cover, and place it in the freezer for at least 4 hours or overnight.