A while ago this question came up and just about every said they use "twenty fifteen" for the year, but I've always said "two thousand fifteen". I asked my sister and she said she uses the latter, just like me.
So it seems the majority use "twenty fifteen", whereas a minority (including at least my sister and I) use "two thousand fifteen". I don't know if this is a regional difference or just personal preference, so I'm interested in seeing the other answers to this question.
When you're just talking about the number, you'd always say "two thousand (and) fifteen".