In a medium saucepan, whisk together egg yolks and sugar until well blended. Stir in milk. Bring to a boil over medium heat, whisking constantly.
Boil for 1 minute; remove from heat. Pour into a bowl and cover with plastic wrap, placing wrap directly on the surface of the custard. Refrigerate until chilled, at least 1 hour. Remove mascarpone cheese from the refrigerator so it softens while the custard chills.
In an electric mixer fit with the paddle attachment, or in a large bowl with a spatula, blend chilled custard with softened mascarpone cheese until smooth. Set aside.
To assemble the cake:
To make the whipped cream, in an electric mixer fit with the whisk attachment, or with an electric hand mixer, beat cream and vanilla until stiff peaks form.
In a small bowl, combine chilled espresso and rum. Separate the lady fingers horizontally and arrange a single layer in the bottom of an ungreased 11-inch by 7-inch baking dish (about 16 lady fingers).
Brush with the espresso-rum mixture. Spread half of the custard mixture over the lady fingers, then top with half of the whipped cream.
Repeat with remaining lady fingers brush with the espresso-rum mixture, remaining custard mixture, and remaining whipped cream. Sprinkle with cocoa as desired (1 tablespoon or up to ¼ cup). Refrigerate at least 4 hours or up to 24 hours. Store covered in the refrigerator.
Egg yolks: The custard uses a lot of egg yolks, but no egg whites. Hold onto the whites, though! You can freeze them for meringue later.
Mascarpone cheese: An Italian cream cheese that is usually sold in small plastic tubs in the cheese, dairy, or deli section at grocery stores. If you can't find it, you can make a substitute with cream cheese and heavy cream. For every 8 ounces of mascarpone you need, mix together 1/4 cup heavy cream with 8 ounces of softened cream cheese.
Espresso or strong coffee: Brew a cup of your deepest, darkest coffee, then chill it. To use instant powdered espresso, combine 1 tablespoon espresso powder with 1/4 cup hot water.
Dark rum: Substitute an equal amount of light rum, coffee liqueur, brandy, or cognac. If you have a bottle, use Marsala, a sweetened Italian wine with a nutty flavor. It's a common ingredient in authentic tiramisu recipes. You can also substitute 1/8 teaspoon rum extract mixed with 2 tablespoons water, or just add more coffee.
Italian ladyfingers: Oblong, very dry sponge cake cookies, aka savoiardi. They don't taste like much all by themselves, but they're the backbone of this dessert. You should be able to find cellophane wrapped packages of lady fingers at almost any well-stocked grocery, made by Italian brands such as Delallo, Balocco, Vicenzovo, or Marini.
Unsweetened cocoa powder:Much more than just for show, the cocoa melts onto the top whipped cream layer and tastes incredible. Dutch processed or natural are both fine.
Yield: This recipe makes 8 generous slices of Tiramisu (more or less depending on how you cut them).
Storage: Store leftover Tiramisu covered in the refrigerator for up to 4 days. Chilled Tiramisu makes a heavenly breakfast with fresh berries (I won't tell) a delightful afternoon snack with a demitasse of espresso, or an unforgettable midnight snack.