'YouTube No Cookie' is an option that allows for YouTube videos to be embedded on websites without setting cookies. Usually, when playing a YouTube video on a website, cookies are set to collect and analyze information about the user's behavior. By using 'YouTube No Cookie', cookies can be prevented from being set, improving privacy settings. To use 'YouTube No Cookie', the embed code of the video must be changed to www.youtube-nocookie.com instead of www.youtube.com.