Preheat oven to 350 degrees F.
In a small saucepan over low heat melt the butter, chocolate and cocoa powder. Transfer to a large bowl. Add sugar, eggs, 1 teaspoon vanilla, flour, and cayenne. Using a hand-held electric mixer beat until well combined.
Spread batter into a buttered and floured 8 by 8-inch pan.
In a medium bowl add the cream cheese, sugar, egg yolk, 1 teaspoon vanilla and beat until thoroughly mixed.
Dollop the cheese mixture on top of the batter in the pan.
Bake for 35 minutes. Remove from the oven and cool before slicing.