Whisk the sugar and the egg yolks together in a large heatproof bowl using a balloon whisk or handheld electric whisk until they have thickened.
Set up a Bain Marie and place the bowl containing the whisked sugar and eggs over the saucepan of hot water.
Continue to whisk the egg and sugar mixture over the Bain Marie for 3 to 4 minutes, before slowly pouring in the Marsala wine.
Keep whisking the mixture over the Bain Marie for 5 to 10 minutes until the mixture is thickened to the point where it holds it's form for a few seconds.
Remove the bowl containing the zabaglione from the heat and set to one side. Meanwhile, slice the fresh figs.
Serve the zabaglione either warm or cold with fresh fig, a pinch of nutmeg, and a few amaretti biscuits each.