Does the EU cookie law apply to an EU site that is hosted outside of the EU?
The UK Information commisioner says in their guidance document on cookies:
"An organisation based in the UK is likely to be subject to the requirements of the Regulations even if their website is technically hosted overseas."
So it depends on where you are based, not where you are hosted.
No one will actually be able to answer this until there is a test case in front of a court, then there is a separate question of how enforcement will work.
I would suspect that the likely outcome of any case will be that any website hosted on a European domain name or server will be covered by the law, and this will be enforced by the registries.
Equally I suspect that anyone with a business entity, tax base, or whose primary customer base is within the EU will also be covered by the law.
Facebook and Microsoft have both been subjected to EU laws on privacy and competition despite being mainly US based companies with European subsidiaries.
In short, it's probably much easier and less costly to comply with the law than work out if you have to comply with the law!