Former Israeli Defense Minister Ezer Weizman is setting up a new political party to challenge both Prime Minister Menachem Begin's ruling Likud bloc and the opposition Labor Party in next year's national elections. He said he would like to see another defector from the Begin Cabinet, former Foreign Minister Moshe Dayan, head the new party. He said Mr. Dayan is a better candidate than either Mr. Begin or Labor Party leader Shimon Peres for the premiership, because of his international recognition, the respect he commands among the Arabs, and his "exceptional insight." In a crucial parliamentary no-confidence vote last week, which failed narrowly, both Weizman and Dayan voted with the opposition against the government.