Lots of people are afraid unnecessarily of behavioural advertising. All it means is that if you have been to a site or bought something, a cookie is dropped on your computer and ad servers read those cookies and try to serve you an ad that is most appropriate to you.
The data is anonymised and aggregated – which means that no one knows that YOU specifically have done something, nor are they targeting YOU specifically. In fact, they don’t care who you are, they are just trying to get you to click on ads, which is what they were doing anyway.
It’s not that devious at all, to be honest, but a big deal has been made out of it in the press and in government basically because no one really understands it (and it sounds scary!).
Due to this, laws were introduced in Europe saying that if a site puts cookies on your computer, it must ask your permission first. As time has gone on, however, implicit consent has now been allowed to become the norm (as in “We’ll assume you’re ok with this, but you can opt-out if you wish”).
What it means for you is that although all sites based in Europe need to add a cookies warning, you do not, in fact, need to add anything fancy to actually allow users to opt-out of the cookies you are delivering (only give them general information how to do that).
If you want to find out more information on behavioural targeting the international starting point for information is Your Online Choices. The IAB also has a Behavioural Targeting Council which is made up of industry insiders who are trying to work through the practical problems surrounding the laws, and it may well be worth your while to keep an eye on them for updates.