Preheat the oven to 190°C/fan170°C/gas 5. Lightly grease 9 holes of a deep muffin tin with a little butter.
Allow the milk to cool a little before you add it to the dry ingredients, or the baking powder will start working before it gets into the oven. Don't be tempted to use goat's cheese with rind on – it doesn't melt nicely. These muffins taste best when eaten within 24 hours, but you can freeze them, wrapped in a plastic bag, for up to 1 month.
Place the milk and butter in a large pan over a high heat. When the butter has melted, stir in the spinach and bring just to the boil. Remove from the heat and pour into a liquidiser or food processor. Whizz until the spinach is finely chopped. Allow to cool for 5 minutes.
Sift the flour, baking powder and bicarbonate of soda into a large bowl. Add the cayenne and some freshly ground black pepper. Stir in the Parmesan. Add the egg and the spinach mixture, then beat with a wooden spoon until just mixed. Divide between 9 muffin holes, filling each about half full.
Add a little goat's cheese to each muffin hole. Top with the remaining mixture, followed by a little more cheese, pushing the cheese down into the mixture. Bake for 20-25 minutes, until risen and firm to the touch. Leave to cool for 5 minutes, then turn out onto a wire rack. Serve hot or cold.