My first thought is to check to see if your actuator motor located under the lower half of the heater housing is working. Unlike 97-98 models which were cable controlled for temperature, beginning in 99 and up through 2006 on the TJ, temperature was electronically controlled. When turning the temperature knob on the instrument panel, this (for lack of a better term) sends a message to whats known as an actuator motor underneath heater housing on the passenger side. Depending on which way you move the knob(heat or cool) will tell this motor to "swing" the blend door located inside of the heater housing. Sometimes when the temp knob is turned all the way to heat or cool, the blend door gets in a jamb inside the housing and the motor cannot turn because the door swung to much. It is an easy check.
1) Take the actuator loose from the heater housing(2 screws, IIRC) The rod from the blend door will be exposed and see if you can turn that rod by hand. If you cannot, you know it is stuck in one position. Usually, you can take your fingers and free it. However, there are times that using pliers to grip the rod and gently turn will "break it loose"
2) Check to see if the actuator motor is working. Find the actuator motor under the heater housing. Turn the ignition on, and move the temp knob and you can see the motor turning.