The answer is, it depends on the application. I've become a big fan of merino wool and wool clothes, but it's not a one size fits all applications. There are advantages and disadvantages.

In this case, I think I'm probably gonna have to disagree and say go for the fleece for a couple of reasons. One, the wool blend blankets you find for $15 probably aren't very good quality, and are most likely blended with low quality synthetics, so any advantage wool would have had is probably gone. Second, wool is heavy, and the cheap blankets are scratchy, so they're not very comfortable. A lot of people just don't like the feel of wool, whereas most people like the softness of fleece. If you're giving them to friends and family, they probably won't be able to appreciate the difference between a wool blanket or fleece anyway, all they're going to know is that one is nice and soft, and the other is scratchy and uncomfortable (plus they smell funny sometimes).

Also, while wool might be warm when wet, it can take days to dry out on it's own. Wool will actually absorb up to 30% of it's weight in water before it feels damp, so that could be good or bad depdending on how you look at it. A fleece blanket doesn't absorb the moisture, you can wring out almost all the water and the rest will dry from body heat. Actually, it's kinda funny when people mention the fact that synthetics or wool being warm when wet. Don't be misled into thinking they're very comfortable when wet. It's still miserable to be wearing wet clothes, you just won't die as quickly.

One advantage of wool that's been mentioned is that it doesn't melt. So if there's a chance that you'll be using it near fire, then that's something you'll have to consider.