In a medium saucepan over medium heat, heat milk until it starts to steam (do not boil). Gently stir in chocolate chunks and whisk until all the chocolate melts. Add vanilla, ground cinnamon and cayenne pepper, turn heat to medium-low, and simmer for a few minutes until all ingredients are well incorporated. Remove from heat. Ladle into 4 cups to serve immediately, or set over low heat, stirring occasionally. Garnish each mug with a cinnamon stick and a sprinkle of cayenne pepper. Enjoy!