Making the assumption you have a CRD then it came equipted with Jeep's NV242 transfer case. Jeep calles it "Select Track" but Sir Sam prefers NV242

It is a common occurance for them to not shift into or out of the various ranges because of the way the internal mechanism operates.
There are various methods to getting them to shift but shutting the engine off I don't think has been mentioned. If you scan through post titles over the last month, since there's snow on the ground in a lot of the country, you'll find many answers on how to get it out and some things that can make it worse.
But it's a completly normal situation
