1. In a small bowl, sprinkle gelatin over cold water and let it sit for 5 minutes.
2. In a saucepan, combine heavy cream, whole milk, sugar, and lemon zest. Heat over medium heat until sugar dissolves and mixture is hot, but not boiling.
3. Remove from heat and stir in the gelatin mixture until completely dissolved. Add vanilla extract.
4. Pour mixture into ramekins and refrigerate for at least 4 hours, or until set.
5. To serve, run a knife around the edges of the ramekins and invert onto plates.