The European Union has full statehood, and then it's the question whether you can have a democracy without having a state. But you do have citizenship of the European Union, which comes with a number of privileges. To name a few:

• Voting and standing as a candidate in communal elections in the country of residence
  
• Optional voting and standing as a candidate in European Elections in the country of residence
  
• Fall-back use of any Member State's diplomatic and consular services when travelling abroad
  
• Freedom of movement within the European Union
  
• Anti-discrimination rights (that are interpreted broadly by the European Court of Justice)

The democracy of the EU could also be criticised because the European Parliament doesn't have a right to decide over all areas of legislation. Still, I think that the co-decision procedure covers most of the legislation that we see. Furthermore, the areas where the EP doesn't have more than advisory role require a unanimous decision by the Council.

From 2009, the MEPs will also finally be getting the same pay.