This custard sauce has Italian origins, but was long ago adopted into classical French cuisine. You might also see it called "zabaglione" or "zabayon" in recipes and on menus.
Foamy and creamy, sabayon is lighter and (typically) less sweet than milk-based creme anglaise. Traditionally, marsala was a requisite ingredient, but these days you'll see sabayon sauces made with white wine, madeira, or any other sweet liquor.
A basic recipe for a sabayon is 4 egg yolks, 4 tablespoons of sugar, and 8 tablespoons of alcohol (or 1 tablespoon of sugar and 2 tablespoons of alcohol per egg yolk).
Combine everything together in a large bowl and then set the bowl over a pan of simmering water. Whisk the mixture until it has increased in volume and is thick enough to coat the back of a wooden spoon.
Serve the sauce warm or continue whisking it off the heat until it's cooled. Don't let it stand for too long before serving or it will separate.
It can be served with puddings or cakes, over fresh fruit, or - as pictured above - straight up in shot glasses!