In a small saucepan heat butter to a bubble, but don't brown it.
In a blender: add egg yolks, lemon juice, salt and cayenne pepper. While blending at high speed gradually add the hot butter. This creates the hollandaise.
Simmer shallots, tarragon, peppercorns, salt and vinegar in a medium skillet. Cook until the liquid has been reduced by 2/3.
Add this mix to the hollandaise, cover and blend on high for about 4 seconds.