The next time you are in your Jeep, do this simple test.
1)Put key in ignition
2)Press and hold the odometer reset button
3) Turn key to "ON" position.... DO NOT START THE VEHICLE!!!!!!
The dash lights, and gauges will cycle thru a self check process, if during this process you see the 4wd light come on, then you know for sure that the switch needs to be replaced and not the bulb.
Edit: This test works on my 04 LJ, not sure if it works on other years.