Because of EU legislation, sometimes you have to block tracking cookies from being deployed. In Sitecore's case this would mean the SC_ANALYTICS_GLOBAL_COOKIE, since it's not absolutely necessary for the functioning of the site (it's necessary for analytics/personlization).
Looking through Sitecore, this cookie is deployed by the
Sitecore.Analytics.Pipelines.EnsureSessionContext.EnsureDevice pipeline. But I always dislike overriding Sitecore pipeline if I can avoid it (rather add pipepeline components if necessary).
So, have you found other/better ways to to block the SC_ANALYTICS_GLOBAL_COOKIE from being deployed?
Secondary Answer (Edit): The link provided by sestocker in the comment has excellent options, such as settig Tracker.Enable to false in the pre-initialization stage of your page, etc. Those work really well for disabling the SC_ANALYTICS_GLOBAL_COOKIE, but Sitecore Climbers answer also works, and will help with for example the #lang cookie, since there's no switch to turn that one off.