You didn't say what size blanket you're looking for, nor the size or your price range, but this one would be hard to beat:
Witney? Excellent Quality Wool BlanketGood deal on this Hudson's Bay 8-Point, but still expensive:
Hudson's Bay BlanketThis one's nice too:
John Atkinson BlanketYou might also check out flea bay. There's lots of good new and used Hudson's Bay, Pendleton, military and other quality wool blankets for decent prices. Look for Earlys of Witney blankets too - they're rather nice.
Filson makes a real nice 26 oz Mackinaw blanket as well.
Filson BlanketAmong my many blankets is this gem:
Bulgarian Military Blanket, which is incredibly thick and soft, but it's not very big, good price, though.
Keep in mind that all these wool blankets are very warm and it needs to be pretty 'gol-danged cold or else you'll bake under may of these blankets.
I don't know if any of these are dog-proof and you didn't say what kind of dog you have. I wouldn't think dogs would like munching on wool too much, but if you have a Lab, all bets are off.