Combine whipping cream, coffee beans, sugar, and vanilla bean in a medium saucepan. Bring to a boil over medium heat, stirring frequently; cover, remove from heat, and let stand 30 minutes. Strain the coffee mixture; discard the coffee beans and vanilla bean.
Gradually pour the coffee mixture into the egg yolks, stirring with a wire whisk. Gradually add to melted chocolate, stirring constantly with a wire whisk. Stir in cognac.
Pour mixture evenly into six 4-ounce pots de creme or souffle cups. Place cups in a 13x9x2 inch baking pan; add hot water to pan to a depth of 1 inch. Add tops to the pots de creme cups, or place a baking sheet on top of the souffle cups. Bake at 350° for 25 to 30 minutes or until a knife inserted between the center and edge of custard comes out clean (custard should still look soft in the center).
Uncover cups, and remove from the pan. Let cool to room temperature on a wire rack. Serve at room temperature, or cover and chill.