Melt the butter in a saucepan set over medium heat, then add the sugar and eggnog. Whisk together and bring to a boil. Boil for 1 minute, then remove from the heat and whisk in the vanilla and baking soda if using. Serve warm or at room temperature.
Baking soda helps the syrup emulsify and become thick and creamy, but isn't necessary to make the sauce. Serve this syrup with French toast, pancakes or waffles throughout the holiday season for a festive meal.