Preheat the oven to 180C/355F/Gas 5. Lightly butter a deep ovenproof dish.
Melt the marmalade in a small saucepan over a low heat. Lay half of the panettone slices in a single layer in the buttered dish, then spoon over half of the marmalade.
Beat the eggs together with the milk and vanilla extract. Pour half of the egg and milk mixture over the panettone, then layer over the remaining panettone slices, the rest of the marmalade and the rest of the egg and milk mixture.
Bake the pudding in the oven for 35-40 minutes, or until it is puffed and golden-brown. Shake it gently, it should wobble but show no sign of uncooked custard.