In a large bowl, mix together cocoa powder, sugar, cinnamon and salt. Heat a large saucepan over medium heat and add milk and cream. Bring to a simmer, stirring every few minutes. Add 2-3 tablespoons of the milk to the cocoa and sugar, mixing thoroughly to create a paste. Once the entire thing is wet, use a spatula to add it to the milk and turn the heat down to low. Whisk continuously until smooth (do not let it boil), the whisk in chopped chocolate and vanilla extract.
Remove from heat and whisk in vodka, or add to each glass right before serving. Top with marshmallows and whipped cream.
For the Bailey’s marshmallows, I used this exact recipe for beer marshmallows, substituting Bailey’s for beer.