In a large bowl, sprinkle yeast over 1/4 cup warm (110°) water; let stand about 5 minutes.
Heat milk and butter to 110°. Add milk mixture, sugar, and salt to softened yeast.
Lightly beat eggs to blend. Spoon 1 tablespoon of the eggs into a small bowl, cover, and chill. Add remaining eggs and vanilla to yeast mixture; stir to blend. Add 2 1/4 cups flour, nutmeg, and cinnamon; stir to moisten, then beat with a mixer on high speed until dough is stretchy, 6 to 8 minutes. Stir in 1 cup flour to moisten.
Knead dough. If using a dough hook, beat on high speed until dough pulls cleanly from bowl and no longer feels sticky, about 5 minutes. If dough is still sticky, beat in more flour, 1 tablespoon at a time.
If kneading by hand, scrape dough onto a well-floured board. Knead until dough is smooth, elastic, and no longer sticky, about 12 minutes; add flour as required to prevent sticking. Return dough to bowl.
Cover bowl airtight and let dough rise in a warm, draft-free place until it doubles, about 1 1/2 hours.
Punch dough down. Knead on a lightly floured board to expel air. Form into a 7-inch round and set on a buttered 12- by 15-inch baking sheet. Cover lightly with plastic wrap and let rise in a warm place until puffy, about 40 minutes.
Uncover dough and brush gently with reserved beaten egg. Sprinkle loaf with sesame seed. With a sharp, floured knife, make a slash about 1/2 inch deep across the middle of the loaf.
Bake loaf in a 350° oven until richly browned, 35 to 40 minutes. Serve warm or cool. If making ahead, wrap cool loaf airtight and let stand at room temperature up to 1 day; freeze to store longer.
If desired, cut a slit in the bread and insert a Day of the Dead decoration such as a miniature skull or skeleton.
Nutritional analysis per ounce.