Combine eggnog, gelatin and sugar in small saucepan. Heat over medium heat until gelatin dissolves, strirring often. Remove 1 cup mixture to small bowl; stir in rum extract.
Add chocolate, cocoa and coffee to mixture in saucepan. Cook over low heat, stirring, until chocolate melts. Add vanilla.
Chill mixtures separately until they mound when stirred; watch carefully and dont overchill or they will become lumpy.
Beat heavy cream in bowl until stiff peaks form. Fold one-third of whipped cream into plain eggnog mixture and the remaining two-thirds into chocolate mixture.
Spoon mixtures in layers in 4- to 5-ounce glasses or cups. Cover; refrigerate until set, about 2 hours.