Put the egg yolks, vanilla seeds and sugar in a large bowl over a pan of just simmering water.
Using an electric hand whisk, whisk the yolks, sugar and vanilla seeds together for about 15 minutes, until the mixture is pale, thick and voluminous. It should have nearly tripled in volume.
Gradually whisk in the Marsala wine and then remove from the heat. Continue to whisk until the Zabaglione has cooled slightly.
Divide the Zabaglione between 6 x 250ml dessert glasses or tumblers and sprinkle with crushed amaretti biscuits to serve.