I've got the same thing. I'm pretty sure it's a cracked exhaust manifold though. It used to only be there when the engine was cold, now it starts very loud when the engine is cold, and continues, only more quietly, when it warms up.
I wanted to know what it was once so I started the jeep and opened the hood. It sounded like it was coming from the bottom of the drivers side of the engine (I have the V8). The sound is directly proportional to engine revs, so I think I have a cracked manifold. I'm gonna have the stealership take a look at her soon though.
Formerly Default Jeeper #13
2000 WJ Limited 4.7 with stuff. Look left for the deets.