There are a lot of great recipies for egg nog in Luis Ayala's monthly rum newsletter, link above. You need the free Adobe Acrobat reader from adobe.com to read it.
Here's a recipe for Cuban Eggnog I found on the net that sounds pretty good:
1 cup water
2 cups sugar
1 can evaporated milk
1 can condensed milk
8 egg yolks, beaten
1 teaspoon vanilla extract
1 cup rum (or to taste)
Combine water and sugar and boil until it becomes syrupy. Let cool. Add both milks and vanilla to yolks. Mix well. Add syrup and rum. Mix well again. Strain all through cheesecloth or coffee filter. Pour into sterilized decorative bottle with tight seal. Refrigerate.
Makes a great gift if you can keep from drinking it yourself!