Okay, to narrow down where the problem lies, in 2wd (light out) with the hubs locked, crawl under the truck (not running) and see if you can rotate the front drive shaft. You should not be able to. If you can, first suspect would be hubs that need to be cleaned cause they are gummed up and not working freely. If you can't turn the shaft, all is well at the axle. Now disengage the hubs, and engage 4wd (so the 4wd light comes on), turn the truck off and crawl under. Try turning the shaft, you shouldn't be able to, if you can, you have a problem at the transfercase (although the light coming on makes me think this will be unlikely).