Put all the ingredients in a large mason jar. Make sure your egg and oil are at room temperature.
Put an immersion blender down into the jar, and turn on. Blend, pulling up as you go, until the dressing has emulsified. This will only take a few seconds. Give it a stir, and then taste to adjust the seasoning. Tasting is key to getting it just perfect. You may want a little more anchovy, or lemon. I always add more cracked pepper.