Put the egg yolks, sugar and lemon zest ( if using) into a heatproof bowl that will fit neatly over a pan then whisk vigorously until the mixture is pale, frothy and has almost doubled in volume.
Put a little water in a pan, bring it to the boil then reduce the heat so that it is barely simmering. Set the bowl over the top- it must not tough the water- and start whisking.
Once the egg and sugar mixture has thickened into a custard begin adding the marsala or the coffee gradually, whisking as you go, until the mixture is richly yellow, thick and creamy.
Remove from the heat and allow to cool. Pour into glasses or little bowls and serve with sponge fingers.