I would discourage it.
There are obvious advantages for users in "accepting" cookies in their browsers... generally to store logins and info that they would otherwise have to re-enter each time they visited a site that provides them.
Beyond that, there's a fine line between doing what you're suggesting and installing spyware, malware, etc., which is illegal in most countries.
I think market research should be done the old fashion way... with surveys, focus groups, interviews, etc.
Installing logging software or "black boxes" to monitor behaviour may have advantages too, but never without the explicit permission of the people you wish to monitor.
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