gw is correct.  The same thing applies to a creature with bloodthirsty attacking when there is more than one wounded character (or one wounded and another with a guard marker)--the attacker gets to choose which one he targets.

Actually, a bloodthirsty creature cannot attack a wounded creature if there is a guard in the same zone.

Faq p11: A creature with Bloodthirsty is in a zone with two other enemy creatures, one of which is Guarding and undamaged, and the other one of which is damaged. Since the damaged creature is not a legal target for the attack, the creature is free of any obligation to attack, so it could either attack the Guard or take another action.