In a small bowl, sprinkle the gelatin over the cold water and let it bloom for about 5 minutes.
In a medium saucepan, combine the eggnog, heavy cream, and sugar. Cook over medium heat, stirring occasionally, until the mixture is just about to simmer (do not let it boil).
Remove the saucepan from heat and stir in the bloomed gelatin until completely dissolved.
Add the vanilla extract and ground nutmeg to the mixture; stir until well combined.
Pour the mixture into serving glasses or ramekins, filling them about 3/4 full.
Refrigerate for at least 4 hours, or until set.
Once set, top each panna cotta with a dollop of whipped cream and a sprinkle of ground cinnamon before serving.