If you don't want a website doing something on your computer, you start with the browser, not the website.
The GDPR and ePrivacy directive aren't just about cookies. They limit what a company can do with your data in general, who can access it and how long. Cookie banners are just a downstream consequence of it and the reason they're bad is that most companies try to be clever and design them maliciously in ways to coerce you into "opting in" even though this makes them non-compliant.
If DPAs were serious about enforcing the law, every single website not giving at least equal visual weight to the "refuse all and continue" button (or hiding it behind other options or using individual "legitimate interest" toggle buttons to sneak in their partners despite the existence of the toggle button invalidating the claim of "legitimate interest") would be punished with the maximum fine because they have purposefully and maliciously violated the law.