EU market is tricky as you have both the EU directives and the nations law, but in the end the EU directives have no legal power unless the nation you are operating has enacted the law.
It depends on what your domain your software is for, but I'm guessing some internety thing since this is YC. Most of the privacy concerns and etc can be found here http://en.wikipedia.org/wiki/Directive_on_Privacy_and_Electr... also any links to additional directives can be found there.
http://europa.eu/legislation_summaries/index_en.htm also contains all the EU legislation, but you if find anything troubling you should research how it's implemented in the different member nations.