Using a microwave oven or double boiler, melt the semi-sweet chocolate. Set aside to cool slightly.
In a saucepan heat the cream and milk until just about boiling, then add the vanilla, coffee and cayenne. The coffee deepens the chocolate flavor and the cayenne provides another layer of flavor complexity. Slowly pour the cream mixture into the melted chocolate. Mix in the egg.
Pour into whatever little cups you're serving in, and refrigerate for 5 hours or overnight. Bring to room temperature before serving.
Time to prepare: 5 hours, 20 minutes.