IE9 to include tracking protection
blogs.msdn.com
blogs.msdn.com
I fully expect to get support calls from people who opted into this privacy control setting and are wondering why things (more likely phrased as "your web site") aren't working right.
I think the largest possible impact of this feature is that other browser vendors may start offering it, possibly with a pre-populated blacklist. On the other hand, I can't really see Chrome blocking Double Click or Google Analytics.