Melt the butter and keep it warm. Heat the lemon juice until just warmed. Have small saucepan with boiling water and a measuring spoon ready.
Place the top of a double boiler, or a medium bowl, over hot water. Place egg yolks in the double boiler and whisk until they begin to thicken. Add one tablespoon boiling water. Continue to beat the sauce until it begins to thicken. Repeat with the remaining water, one tablespoon at a time, whisking the mixture after each addition. Keep the heat low enough so the eggs don't begin to scramble. Remove the double boiler from the heat.
Whisk in the warmed lemon juice. Beat the sauce like crazy with a wire whisk as you slowly pour in the melted butter. Add the salt and cayenne and beat until sauce is thick. Serve immediately.
If the sauce gets too thick, whisk in hot water, one tablespoon at a time, until it reaches the desired consistency. If the sauce begins to separate you can add 1 to 2 tablespoons of cream and beat with a whisk until it is smooth again.
Serve this decadently rich sauce over vegetables, fish or Eggs Benedict. It takes only minutes to make and is more than worth all the frantic mixing. I like to pile asparagus spears on a slice of toasted bread (I might even add a very thin slice of ham) and spoon some of this luscious, lemony sauce over the top. What could possibly be more delicious than that!