Preheat the oven to 250°F. Melt the chocolate in the top of a double boiler or in a heavy saucepan. Add the milk and let mixture cook for a few minutes.
Remove from heat and stir in the vanilla. Beat the egg yolks until thick and lemon-colored, and add the sugar, mixing well. Slowly add the egg yolk mixture to the chocolate, stirring constantly. Fill small custard cups with the mixture then set in a shallow pan and fill with hot water about 3/4 of the way up. Bake for about 35 minutes. To test for doneness, tip one container slightly; the custard should be firm but not hard. Chill for at least two hours then serve with whipped cream, sweetened with sifted powdered sugar and a few drops of vanilla.