While funny, RPS is disingenuous:
after visiting RPS, you'll get cookies from the following additional domains:
- adaptv.advertising.com
- adjs.net
- b3-uk.mookie1.com
- mookie1.com
- doubleclick.net
- iasds01.com
- m6r.eu
- mathtag.com
- quantserve.com
- scorecardresearch.com
- openx.net
- adnxs.com
This might change depending on location and time of when you visit it.
I can see how you might think: "who cares if Google Analytics tracks me? Google already has all my web searches", but it's not that simple... every one of these entities can share information about your visits with any other (search for "cookie matching"), and yet... with a visit to a single (!) website, you're loaded with cookies from 12 external different domains, all of which have the exact same purpose.
Personally, I never cared that much about privacy (or at least, this kind of privacy) but now... if only out of spite... I disable storage of 3rd party cookies in my Firefox.
So it's not only a matter of privacy, but also a matter of respect for the (your) user:
as a videogames site, you can easily (?[1]) provide advertisement targeted only to your main audience (for advertisement metrics and fraud prevention, the advertiser could just use the referrer and ip of the source, at least for a first approximation)... so it's not true that giving up (tracking) cookies would prevent advertisement
OTOH: by including random 3rd party javascript (and not simply static resources like images, css, etc. with their own tracking cookie) you are completely leaving your user to the good faith of these other companies, which are then able to use javascript to load other resources, and so on and so on... reselling your visits to other companies again
Not only is this wasteful and never done according to the explicit will of the user, but since the visits span multiple domains, this is something that not even HTTP2 will be able to help for.
Lastly, I think it's antithetic to the very original purpose of HTTP: HTTP nowadays is used for webapps and plenty of different things, but reading articles, seeing images (and possibly videos, just like on RPS) aligns quite well with the original purpose: downloading and transmitting simple documents or data thereof
Cookies are a way to circumvent the stateless nature of HTTP, but why shouldn't a news site like RPS be stateless? (the exception would be for comments, but that isn't necessarily always true either, and anyhow for that the issue is more nuanced)
[1] I have never done it, but I hope so... I hope that inserting adwords is not the only way