Dip the lady fingers into 1 cup of the Marsala - just to coat. Line the bottom of a shallow 2-quart casserole with half of them. Reserve the remainder.
Beat the yolks with the 1/4 cup sugar until thick and lemon-colored. Put in top or a double boiler over just simmering water. Whisk in the remaining 1/2 cup of Marsala. Continue to whisk over the simmering water until the mixture is thickened.
Beat the egg whites and fold into the yolk mixture.
Stir together the cheese and the coffee.
Whip the cream until stiff, adding the remaining 2 tablespoons of sugar.
Cover the layer of lady fingers with half of the egg mixture, then half of the cheese mixture. Top wit half of the whipped cream. Arrange the remaining lady fingers on top and repeat the layering. Finish with the cream and sprinkle with the chocolate.
Chill for several hours.
Serves 8 to 10.