Place milk in heavy large saucepan. Scrape in seeds from vanilla bean; add bean. Bring to simmer. Remove from heat. Cover; steep 15 minutes. Discard vanilla bean.
Whisk yolks and sugar in large bowl to blend. Gradually whisk in hot milk mixture. Return mixture to saucepan. Using rubber spatula, stir mixture over low heat until bubbles subside and mixture thickens slightly (do not boil), about 12 minutes. Cool. Cover and refrigerate until cold. (At this point, eggnog can be made 1 day ahead. Keep refrigerated.)
Mix cognac, brandy, or rum (if using) into eggnog mixture. Using electric mixer, beat whipping cream in large bowl until firm peaks form. Fold whipped cream into eggnog mixture just until blended. (At this point, eggnog can be made 8 hours ahead. Cover and refrigerate.)
Ladle eggnog into glasses. Sprinkle with freshly grated nutmeg (or ground nutmeg) and serve.
Makes 8 servings.
Date: November 16, 2002