UPDATE: 28th May 2012, it appears that the ICO has had a change of heart/made more effort to clarify the position on Implied and Explicit consent to use of Cookies.  They now accept that implied use of Cookies is acceptable in most cases meaning websites do not have to get explicit consent from its readers.  The ICO in its updated notes  do suggest that websites clarify why cookies are being used and that this should be readily available on each site.

As of the 25th May 2012 the EU Cookie Directive becomes law in the UK, this law in its basic form says that as a website owner/publisher , if we use Cookies on our website we must get consent from our visitors to do so.

What are Cookies
Cookies are small pieces of text that can be left on your PC when you visit a website, these pieces of text can hold any number of pieces of information, including your preferences for the site and also tracking information.

Why could so many sites be illegal
A lot of websites (including us) use the Google Analytics system to track users, this comprehensive system gives vital statistics about a websites vistors, this information is collected anonymously but allows the website authors to improve the content and services a website offers.  For instance, Google Analytics will track what type of browser is being used, what colours and screen depth.  This allows the designers to make sites look pretty and functional depending on what devices and OS’s are being used to access the site.  Even though Google Analytics is a third party tool as it is our website that it is working on the directive says that we are responsible for the Cookies and therefore we must get permission.

What will happen if I do not comply
As with a lot of new laws this type of thing has a lot of grey areas, as two examples, can they really force the issue with third party tools, and users have always been able to prevent cookies by browser settings so why do we need to ask.  This leads me to think, but you need to make your own judgment, that I doubt the ICO will go out of its way to start prosecuting and will wait for complaints, then those complaints will have to go to court to see if they are legal, none of this will happen overnight.

What can I do if I am concerned
You could investigate it further (see Google search link below), there is a lot of  discussion on the web but the simple answer is obey, if you use Google Analytics or any other type of Cookie creation then ask the question of your web developer, we use WordPress for our site authoring and within 5 minutes of looking we had a free plugin installed and asking the question.

Even if you are not concerned it does show that you want customer interaction and are concerned about your site visitors privacy, so if its cheap to implement why not.

For more information 

EU Cookie Directive Websearch

Word Press Plugins