Of course, there are differences between EU members too. Finland is somewhat more relaxed about databases -- not much, mind you -- OTOH, spamming (only from Finland, unfortunately) is illegal. Finnish readers might want to check out this (re: spam) and this (re: MMFs); others will have to wait until babelfish starts eating finnish, too. (The first one forbids using automatic methods (as in email, faxes; NOT as in "I'm mailing this individually to everyone, so it can't be spam!" (yes, that happens...)), the second one forbids MMF's, chain letters etc., like just about any other country's laws do.) (I'm starting to think Netscape needs to borrow emacs' brace-highlighting..)
Still, everything you give your address that will get you snailmail-spam (SnailSPAM(TM)? yeourgh:) has to explicitly mention the fact; IANAL, but email is treated similarly.

It would be interesting to hear what the American privacy organizations said of European laws on the matter, though.