For the pudding, bring the milk to a simmer in a small saucepan; remove from the heat. Melt the butter in skillet over medium heat, stirring frequently. Add the sugar and increase the heat to medium high; cook for about 5 minutes, stirring constantly, until the mixture is golden brown and nutty smelling. Keep a close eye on the mixture, as it can easily burn!!
Remove from the heat and gradually pour the sugar mixture into the warm milk, whisking constantly. (If the mixture is clumpy, pour through a fine sieve.)
Place the egg yolks in a medium heatproof bowl. Whisk in 1/2 cup of the milk mixture, then whisk in the cornstarch and salt until dissolved. Add the constarch mixture back into the hot milk mixture in the saucepan. Cook over medium-high heat, whisking constantly, until the mixture thickens and begins to bubble, about 3 to 4 minutes. (You’ll know it’s ready when the whisk leaves a trail through the pudding.)
Remove from the heat and whisk in the vanilla and Kahlua. Pour into 8 small custard cups or ramekins. Place a piece of plastic wrap over each, pressing it lightly onto the pudding surface and chill overnight.
For the spicy pecans, preheat the oven to 350 degrees F. In a medium bowl, whisk together the maple syrup, brown sugar, cinnamon, cayenne, and olive oil. Add the pecans and stir to combine. Dump onto a baking sheet and season with sea salt.
Bake for 12 to 15 minutes, stirring midway through, until golden brown and beginning to crisp. Cool on a cooling rack until crisp and room temperature. Store in an airtight container until ready to use.
*Add another 1/4 teaspoon cayenne if you want the pecans to be spicier.
For the whipped cream, beat the cream, sugar, and vanilla on high for 2 to 3 minutes with handheld beaters until medium peaks form. (The test for this is: turn off the beaters and pull them out of the whipped cream. Peaks should form and gently fold over once the beaters come out.)
TO SERVE: remove the plastic wrap from the puddings. Dollop each one with whipped cream and sprinkle with spicy pecans. I like to put out a small bowl of pecans on the table in case people want to add more (they’re really good!).
MAKE AHEAD: The puddings can be made 2 or 3 days in advance and kept in the refrigerator. The nuts can be made 5 days in advance. The whipped cream is best when made just before serving.