As far as I can see the purpose of the legislation is to prevent targetted advertising, though if you have a real heap of information on people I guess you could try to profile them in more detail. This isn't something that most websites can do effectively in isolation, as we simply don't have the market coverage to track what people are doing outside of the 20 seconds or so most visitors spend on the site (short of downloading your browser history - NOTE update your browser!). It is more of an option for big online retailers, like Amazon, though I honestly don't object to them suggesting products on the basis of what I've looked at already - I guess there is a trust relationship there which I find adds to the browsing/shopping experience.
In the UK the big stink came with the Phorm contract with BT, one of our main ISP's, but this is a very different technology to what we as web developers usually have access to, and I don't believe it was cookie based...
In fact the only people I know of at the moment who track you (me and everyone else) like a hawk are the Search Engines. They do do it to offer you targeted searches, which are pretty annoying if you are logged in as they can give you a seriously distorted view of the web (why is that little site you have just created at the head of the Google rankings? - Oh bugger, logout and look again!), but even if you are not logged in they will set regional preferences for your search, though clearly they use IP tracking rather than cookies.
To get a similar level of intelligence to that in the possession of the likes of Google, large numbers of websites would have to pool information, and if you are talking about this level of integrated development, then you would be using IP tracking as well, and not cookies, which are site specific (again make sure your browser is up-to-date!).
Now, just perhaps there is a business model for world domination here...