According to EU Article 5(3) of the E-Privacy Directive (a.k.a \'The Cookie Laws\'), web sites that target EU users have to gain opt-in consent from users before they set a
Common way to handle this so far is the method used by wolf-software's jquery plugin whereby it prevents the script from running until the user opts in. The ICO updated their guidelines last week, however, to say that it is acceptable to rely on 'implied consent' of the sort used on the BBC site. While I don't really think that's within the spirit of the law, it's what's deemed acceptable by those enforcing it. Given that most of the EU has yet to implement the directive, I'd say it's highly likely they'll follow the UK's lead.
There's an interesting article about the UK updates here:
http://www.redant.com/articles/eu-cookie-law-update-ico-adopts-softly-softly-approach/