If you're taking about the EU "cookie law" then it is neither about cookies nor about third party data. The summary is you can store data if they support the primary function of your site without the popup. E.g. you have a shop so you can place a cookie to track the cart but not cookies related to tracking what your user looks at. Despite the name the law is generic about data stored on users computer so cookies, local storage, etags, all are covered by that.