Heat oven to 325 degrees,Place bread cubes in large bowl. Butter casserole dish.
Saute the vegetables: heat butter in saute pan. Cook onions until limp. Add celery, cook until lightly browned.
Assemble the dressing: Scrape veggies into bowl with bread. Sprinkle in herbs, if using unseasoned bread cubes, start with about 1 teaspoon each of sage, marjoram, and thyme, grindings of pepper and salt, to taste, plus a pinch or two of cayenne. Season lightly, you can always add more.
While tossing, drizzle in enough broth to moisten mixture throughout, but not so it's sopping. Taste for seasoning, adding more if desired. if you prefer dense dressing, first add broth to barely moisten the mixture and correct seasonings. Then mix in the beaten egg and combine. wait a few minutes, allowing broth and egg to saturate the bread, before adding any more broth.
Bake dressing: Spoon mixture into buttered baking dish, do with butter. Cover mixture with a sheet of parchment and then tightly with foil. Place in oven and bake 45-60 minutes until piping hot and set. During the last 10 minutes of baking, remove foil and parchment, allowing top to brown. Sprinkle lightly with paprika during the final minutes.