Preheat the oven to 350°F.
In heavy medium saucepan, whisk together egg yolks, milk, sugar, cinnamon stick, and vanilla. Stir 1/4-cup water into cornstarch and whisk into milk mixture.
Set saucepan over medium heat and cook, stirring constantly, until mixture starts to thicken and coats back of spoon, about 20 minutes.
Remove mixture from heat and immediately pour into an ovenproof bowl or individual cups. Place custard bowl or cups in a shallow roasting pan and fill pan three-quarters with warm water, or halfway up individual cups. Bake for 40 to 50 minutes, until custard is set. Remove from oven and allow to cool, at room temperature. Cover with plastic, and refrigerate.
Sprinkle with a little cinnamon just before serving.