In a saucepan over medium heat, whisk together the sugar, cornstarch, cinnamon and salt. Gradually whisk in the milk. Cook for 5 minutes, stirring constantly. The milk will foam and thicken slightly.
Remove from heat and stir in the vanilla.
Pour into individual serving bowls, and chill at least 30 minutes.
Note: To prevent a skin from forming place parchment paper or plastic wrap directly on top of the pudding so it is touching the surface.