Gravity wells are the “mass shadows” of planets, basically the gravity they exert outside their atmosphere. They are notable in the fact that they restrict hyperspace activity. It seems that the sequels have retconned these, however, with ships going into and out of hyperspace while still in a planet’s atmosphere (millennium falcon in TFA and the U-wing off jedha in RO).

Black holes are extremely dense singularities, mainly caused by the rapid collapse of a star’s core. They exert such powerful gravitational force that even light waves cannot escape.

Gcar18 is right. Gravity wells surround anything with a decent amount of mass, like a star, planet, or a moon (or they can be artificially created, like with an Interdictor Cruiser). A gravity well is the result of the warping of the fabric of space/time around any object of significant mass.

A black hole, on the other hand, is a specific type stellar phenomena, one of incredible mass and density.

Naturally a black hole has a large gravity well surrounding it, being a stellar object of immense mass. But they aren't the same thing. Not all gravity wells are formed by black holes, but a black hole can't exist without creating a gravity well.