Pour cold water into a small bowl and sprinkle gelatin over the top. Let it sit for 5 minutes to bloom (it'll look wrinkly, and that's perfect!).
In a medium saucepan, combine eggnog, heavy cream, and nutmeg. Heat over medium heat until it just starts to simmer, stirring occasionally.
Remove from heat and whisk in the bloomed gelatin until completely dissolved (no lumps!).
Pour the mixture into 12 small shot glasses or small dessert cups, filling each about 3/4 full.
Refrigerate for at least 4 hours or overnight until completely set and jiggly.
Before serving, top each shot with a dollop of whipped cream, a sprinkle of nutmeg, and a small cinnamon stick if desired.
