Few natural dyes need no mordant.
The easiest ones to aquire and use safely are iron and alum, with copper coming a good third choice.
Too much Iron will rot the wool while copper can be very toxic.
Alum is excellent if you want to achieve bright colours.
Have a look here at the first few images of natural dyes on hoops. These colours are all on wool,
http://www.seamstimeless.pwp.blueyonder.co.uk
Nettles are very good, but to dye a blanket you will need a heck of a lot of them, and you will have to boil the dyestuff to get the full colour.
The colours to the top right of the first image are nettle dyed.
Happy to provide more information if you do decide to do it this way. I'm not trying to put you off, but for a blanket, I must admit that even I'd be tempted by the box of dylon wool dye
If you don't want to use Dylon look for Acid dyes, fibrecrafts, kemtech and the like all sell that for home dyeing.
Cheers,
Toddy