You need to know about The Cookie Law. It's the law, after all. Luckily, WordPress provides help via plugins to help you comply. Read on below for why it's important.

The Cookie Law is a piece of privacy legislation that requires websites to get consent from visitors to store or retrieve any information on a computer, smartphone or tablet. It was designed to protect online privacy, by making consumers aware of how information about them is collected and used online, and give them a choice to allow it or not. 

Source: The Cookie Law Explained