Line a 9x9x2-inch or 11x7x1-1/2-inch baking pan with foil, extending the foil over the edges of the pan. Butter the foil; set pan aside.
In a microwave-safe bowl, microwave the butter, uncovered, on 100-percent power (high) for 1 to 1-1/2 minutes or until melted. Stir in cocoa powder, brown sugar, and milk. Microwave, uncovered, on high for 1 to 1-1/2 minutes or until mixture boils, stirring once. Stir again; microwave for 30 seconds more. Stir in powdered sugar and vanilla until smooth. Spread fudge evenly in the prepared pan.
In another microwave-safe bowl combine caramels and water. Microwave, uncovered, on 50-percent power (medium) for 2 to 2- 1/2 minutes or until caramels are melted, stirring once. Stir in peanuts. Microwave, uncovered, on medium for 45 to 60 seconds more or until mixture is softened. Gently and quickly spread caramel mixture over fudge layer in pan.
In a 2-cup microwave-safe glass measuring cup or bowl, combine semisweet and milk chocolate pieces. Microwave, uncovered, on 50-percent power (medium) for 2 to 2-1/2 minutes or until melted, stirring once or twice. Spread over caramel layer. Cover and chill for 2 to 3 hours or until firm. Use foil to lift fudge from pan. Peel off foil and cut fudge into squares. Arrange fudge in gift container; cover with plastic wrap.