1. In a saucepan, whisk together sugar and cornstarch. Slowly add milk. Bring to a boil, whisking constantly. Reduce heat to medium. Cook 5 minutes or until thickened; stir constantly. Remove from heat.
2. Beat egg yolks until smooth. Whisking constantly, slowly add hot milk mixture (be careful not to curdle eggs). Return egg mixture to saucepan; cook over medium-low heat for 5-7 minutes or until thick, stirring constantly. Remove from heat; add vanilla and, if desired, rum.
3. Divide banana slices among four 12-oz. glasses. Spoon pudding over top. Chill for 2 hours or until set. Serve with sorbet or ice cream.