Check all the fuses under the hood and inside the cabin.
Download the 2005 KJ Service Manual here....Includes wiring diagrams which will show you the wiring, which fuses are relevant and where the grounding straps are. Yo will need a cheap multimeter to measure voltages at the bulb points with reference to their ground wires and also with reference to a clean chassis point in case the ground point has gone missing. The small lamps for aircon controls etc. are known to blow.The Parts Fiches that you can also download will show the part numbers but other part suppliers should have them.
http://www.colorado4wheel.com/manuals/Jeep/KJ/