This Eggnog panna cotta is served in demitasse cups alongside white nougat candy, a traditional European Yuletide treat.
Fill a large bowl with ice and water, and set aside. Place 2 cups milk in a small saucepan, and bring to a boil over medium-high heat. Combine egg yolks and sugar in a medium bowl, and whisk until pale yellow. Pour half of hot milk into egg-yolk mixture, whisking constantly. Return to pan with remaining milk, and cook over low heat, stirring constantly with a wooden spoon, until thick enough to coat back of the spoon.
Remove from heat, and immediately stir in remaining 1 1/2 cups cold milk and cold cream. Pour through a very fine strainer into a bowl set over the ice bath. Add rum and freshly grated nutmeg to taste.
Sprinkle gelatin over 1/2 cup cold eggnog in a small bowl. Pour remaining eggnog into a medium saucepan, and place over medium heat. Cook until just barely steaming. Add gelatin mixture, and stir to dissolve. Strain through a fine mesh sieve. Pour into 3-ounce ramekins or teacups, and refrigerate until set, 2 1/2 to 3 hours.