Heat the milk over medium heat until it steams, about five minutes. Whisk it as you go to make sure it doesn't burn.
Mix the cocoa powder, sugar, cinnamon, chili powder, and cayenne in a small bowl to combine.
Add the cocoa mi and vanilla to the milk and stir until no lumps remain. Then, add in the chocolate and stir until it melts and mixes smoothly.
Pour into mugs and top with marshmallows, shaved chocolate, sprinkles, whipped cream, or whatever else you enjoy on your cocoa.