Though cows' milk ricotta is generally used in the U.S. for making cannoli, Sicilians prefer the richer, sheep's milk variety.
For the Filling
- 3 cups sheep's milk ricotta
- 1⁄2 cup sugar
- 1⁄2 tsp. vanilla extract
- 1⁄2 cup minced candied citron
For the Shells
- 2 cups flour, plus more for kneading
- 1⁄4 cup sugar
- Pinch of salt
- 4 Tbsp. butter, cut into small cubes
- 5 Tbsp. sweet marsala wine
- 2 eggs, lightly beaten
- Vegetable oil
- Chopped pistachios or candied citron, cut into small slices, for garnish
For the filling: Put ricotta, sugar, vanilla, and minced citron into a medium bowl; stir to combine. Cover and refrigerate.
For the shells: Put flour, sugar, and salt into a large bowl and stir to combine. Add butter and work with fingers until mixture resembles fine meal. Add marsala and 1 egg and mix until dough can be formed into a ball. Turn out onto a lightly floured surface and knead until elastic and silky, 10 minutes. Wrap the dough in wax paper and let rest in a cool place for 2 hours.
Divide dough into 8 balls. Run 1 dough ball through a pasta machine on its widest setting, then repeat several times, gradually moving to narrower settings, until it can be run through at the narrowest setting. Transfer to a clean surface and cut out three 4" circles; discard scraps. Cover with a towel and repeat with remaining dough balls to make 24 circles in all.
Pour oil into a heavy medium pot to a depth of 3" and heat over medium heat until temperature registers 375° on a deep-fry thermometer. Working in batches, wrap each dough circle around a 1" × 4 3⁄4"–long cannolo core, sealing ends with a brushing of egg, and fry until light golden brown, about 20 seconds. Transfer to a rack and let cool slightly. Slide shells off cores; let cool completely.
To assemble: Transfer filling to a pastry bag; pipe into both ends of each shell to fill. For garnish, dip ends of each cannolo in chopped pistachios or sliced citron. Serve immediately.