Targeted advertising in digital markets involves multiple actors collecting, exchanging, and processing personal data for the purpose of capturing users’ attention in online environments. This ecosystem has given rise to considerable adverse effects on individuals and society, resulting from mass surveillance, the manipulation of choices and opinions, and the spread of addictive or fake messages. Against this background, this article critically discusses the regulation of consent in online targeted advertising. To this end, we review EU laws and proposals and consider the extent to which a requirement of informed consent may provide effective consumer protection. On the basis of such an analysis, we make suggestions for possible avenues that may be pursued.