The law requires user consent, in form of a click on a banner or scrolling the page, before setting any cookie.
http://eur-lex.europa.eu/legal-content/EN/ALL/?uri=CELEX:320...
Complete law: http://eur-lex.europa.eu/legal-content/EN/TXT/PDF/?uri=CELEX...
Paragraph 66 talks about cookies.
A later exception was made by the EU for session cookies.
Guidelines for webmasters:
http://ec.europa.eu/ipg/basics/legal/cookies/index_en.htm#se...
It has a sample banner which is similar to those which most users display.
Spanish official directives (with further protection because of a local law called LSSI): https://www.agpd.es/portalwebAGPD/canaldocumentacion/publica..., page 17. Also comes with a sample banner
Did you really think that everyone else was wrong or didn't read the law and is programming these banners as some sort of fad?
The law requires user consent, in form of a click on a banner or scrolling the page, before setting any cookie.