We already have that, the Do Not Track header. Advertising companies ignore it because they're not legally obliged to honor it. Reminder that these companies do not care about you or your user experience and will do anything they can to skirt the law to make an extra buck off you. And we can't rely on the competence of legislators because their answer is always more popups.
However, you do have weapons to defend yourself. My favorite is uMatrix. You can set it up to automatically block cookies from any site you don't have whitelisted. And you can make it only accept first party cookies. You can also have it block javascript, cross origin requests, frames by default. If a site doesn't work without scripts, you can easily enable them temporarily.