Surely it would make sense for WP to automatically display a page, to any user whose browser does not supply an opt in cookie with the page request, informing them that access to the site requires consent to cookies being set. Until the user accepts the request they would not be able to access any page on the site. The page could explain the it is necessary in order to comply with EU law.
Once the user accepts the cookies any future request from their browser would retune the cookie with the request and therefor they would be able to access the site without seeing the request page again.
Once consent had been obtained, third party plugins would be covered by the acceptance as would Google Analytics.
I'm not a PHP programmer so I do not have the necessary skill set to do this myself but I wouldn't think it would be hard to implement.
Unless this, or a similar solution is included urgently I will have no choice other than to discontinue the three blogs that I run and look at alternative solutions :-(