In a thin-sided bowl, combine the sugar, egg yolks and orange zest. Pour in the Marsala. Suspend the bowl over a gently simmering bain-marie. It should not touch the water. Using the whisk attachment on a hand mixer, whisk for approx. 4 mins. until the zabaglione is light and fluffy and traces form when it is stirred. Remove the bowl from the heat, briefly continue whisking, serve immediately.