From 26th May 2012 all UK websites must offer their visitors the option of opting in to allow cookies that pass information about their browsing activities to 3rd parties.
Prefer your cookies with chocolate chips in and have no idea what this means? Read this.
There is a very good summary of the issue here. The very brief overview is that cookies fundamental to the operation of a site, like those used to make an ecommerce site work correctly aren't affected.
From this recent article on a meeting with Christopher Graham the Information Commissioner, that has responsibility for enforcement in the UK. it seems that whilst the tracking code used by the like of Google Analytics is not exempt, it is down on their list of priorities.
Obvioiusly we aren't lawyers, so please don't take any of this as legal advice, speak to someone that is one.