Currently, PEGI ratings are not legally enforceable, but will become so after the Digital Economy Act takes effect on April 1, 2011. Until that time, all games with a PEGI 18 rating must be submitted to the BBFC for classification in order to be sold in UK stores.
In the US, the ESRB rates games, but the classifications are not legally binding, merely suggestions. The US video game industry self-regulates with most retailers refusing to sell mature games to minors. In the UK, this is law under the BBFC and will be under PEGI when it takes effect.
In the end, this will just serve as a different way to keep mature-rated games out of the hands of minors. Whether or not this is a legal issue is a matter of opinion.
The government always knows what's best.
Screw the government...
Except PEGI is independent of the government.