Heat the sugar and water together in a small saucepan, stirring constantly. Brush the sides with a wet pastry brush to remove any sugar crystals.
Bring to the boil and boil without stirring until the syrup starts to colour. Tilt the pan slightly to spread the colour and allow to deepen to a light amber. Immediately remove the pan from the heat and very carefully pour in the cream - it will bubble and could spit so arms length is best. Stir in vanilla.
Serve warm or cold. Sauce can be refrigerated for 4 days.