I think Grobags (and their equivalents) are brilliant! I still use them with my son who is now 2. I think they are great because they are very safe (babies can't pull them over their heads) and that there is no chance of them getting cold as they are very warm (winter ones are the equivalent of a 2.5 tog duvet) and the can't wriggle them off in the night.
I don't think they are suitable with newborns though, so until Tristan was a month or so old, I did use baby blankets.
If you are worried about the expense of Grobags, you can get cheaper alternatives from Asda and off Ebay - in fact, you can get really good deals on the Grobag brand off Ebay and Amazon and some other websites.
xxx