Well, yes, but presumably you would ask your users to set those. For example, if you use Gmail, presumably you will agree to let Gmail set your login cookie. Then Google can do web analytics keyed off that; the law doesn't actually ban doing analytics.
Right, so the majority of websites are now required to display the warning and request opt-in.
You don't see how this is a major pain?
You can already get this behavior in your browser by changing user settings. Just try to surf like that for a while. It's horrendous, and what's worse, it doesn't make the user any wiser, really.