In small saucepan, heat milk, sugar, vanilla and cinnamon over medium heat until steaming.
Meanwhile, thread marshmallows onto metal or bamboo skewer. Carefully toast over hot stove or with kitchen torch until golden brown.
Fill large mug with ice. Pour steaming milk mixture over ice. Add liqueur and vodka; stir. Sprinkle with crushed cereal. Garnish with toasted marshmallow skewer. Serve immediately.