Welcome to WebmasterWorld Guest from 220.127.116.11
That said, opt-out seems to be pretty difficult to some stuff i'm working with - not that it's difficult technically, it just involves a h-u-g-e amount of sites and users (tracking service provider)
Or, if you provide a link that just clears the cookie once, but then set's it again in the next page view (because we can't use a cookie to track that the visitor does not want the cookie!), would that be illegal?
Disclaimer: I am not a lawyer. Always seek professional advice from a qualified solicitor. etc, etc.