I think it depends more on the size of the game.
In smaller battles, Azog is probably better because he has 6 might (with the White warg), and his lower defense is a bit less relevant, while Bolg is unlikely to stack up the 10 kills for his special rule, but in larger battles, Bolg's higher defense will be a huge factor (Terror and Harbinger of Evil will help as well), and once he gets those 10 kills, the free might every turn will outweigh the extra 3 initial might that Azog gets.
The fastest Bolg can reach 10 kills is 2 turns (charge into 2-4, heroic combat-> kill all of them->charge another 2-4; next turn, charge 2-4 and kill them). It's actually safe to expect to get the 10 kills on the 3rd turn of Bolg being in combat if you are able to play it aggressively (sometimes it's not possible).
Badner wrote:
I think the problem with Azog is the fact that he needs that one big hero who he can kill in one turn. If you play against an army with a lot of cheap heroes, he is not worth his points. Whereas Bolg can kill lot of warriors and also mid-level heroes.
The wounding on 3s rule only comes into play against characters that are defense 6 or higher because he is burly with a 2h weapon, and Bolg (and the AUJ Azog) has an axe, which allows him to piercing strike up to a potential strength 8 anyway.
With 4 attacks on the charge and F7, it's pretty safe to assume you will roll the 6, and even if you don't, using a might point to win a fight when wounding a D6 or lower hero on potential 2s with 8 dice is well worth it.
It really just comes down to whether you want 6 might and can afford to have a D5 hero, or you are willing to drop down to 3 might for the D7 hero that can potentially get infinite might.