The advantage of a 15" wheel would be that the same size tire would have a slightly bigger sidewall (1/2" around the circumference of the tire), which would wrap rocks better when aired down. I don't know if it would be very noticeable, and it may depend on tire choice, but the larger sidewall may be more forgiving on bumps.
The advantage of a 16" would be a much bigger selection as to tire size. Check out the tires size options of any tire from BFG to Interco (Swamper). You would also have less sidewall which is more stable upon turning. When airing down you may have started with 1/2" less sidewall than a 15, but you'll lose less ride height.
The size of the sidewall depends on the tire size. It measures what it measures. Saying it would be wider or have a larger foortprint on a 15 is not necessarily true.
New model tires are going to increasingly have more choices in the 16" variety over the 15". Not many new trucks or Jeeps for that matter have 15" wheels anymore.
If the standard 33x12.50x15 suits you then stick with a 15. If you want a true 33" tire and have some choices as to the width then look into a 16" wheel.
Really the best way to decide is to find the perfect tire size for you Jeep and the amount of lift on it and go from there. :wink:
I have 16" wheels on my XJ and would make the same choice again.