In a sauté pan, cook the bacon until crisp. Remove the bacon from the pan and chop finely. Set aside.
In a saucepan, heat vanilla in heavy cream on low heat just before simmer.
Whisk together egg yolks and sugar in a separate bowl until pale yellow in color.
Add the chocolate to the hot cream and whisk until it is melted in.
Slowly temper ¼ of the hot cream into the egg yolk and sugar mixture. Add remaining cream to the mix. Whisk in the cayenne pepper.
Divide the bacon bits up between the brûlée dishes and pour the egg and cream mixture over top until the dishes are full.
In a water bath, bake the brûlées at 325°F (160°C) for about 45-60 minutes or until the custard is just barely set. Remove from the water bath and let cool till room temperature.
To finish brûlées sprinkle a thin layer of sugar on top of the custard and caramelize with a crème brûlée torch. Garnish with a piece of chocolate dipped bacon.