Put the vodka and sherry in a mixing glass, add large ice and stir thoroughly. Slowly single-strain into a martini glass. Garnish with an orange peel (or flame an orange peel--see Cook's Note) and serve.
To flame an orange peel, use a paring knife to slice a piece of orange peel about the size of a half-dollar, taking care not to release the oils in the skin (thick skin oranges are best). Strike a match, carefully hold the peel between your index finger and thumb with the skin side down and hold over the flame, making sure the peel is at least 3 inches above the surface of the drink before flaming (or you will scorch the surface of the drink and ruin the cocktail). Firmly squeeze the peel over the flame and the oils will ignite in a brief flash. The oils will then settle on the drink, giving a great orange aroma. This cocktail was made famous by Dean Martin, who used to drink them at the well-known bar Chasen's in Beverly Hills.
Recipe courtesy of Geoffrey Zakarian