Had a similar problem with my 99 TJ. One side marker light was out but turn signal worked. Check the wiring from the side marker light to all the way to where it branches off with the main headlight wiring. I believe it shares power with the headlight and the turn signals, so if those lights work I don't see why you would check switches--the power is getting at least through the harness wiring.
On mine, one of the two wires broke in two pieces from corrosion or oxidation (wiring had turned green). I just reconnected the broken with a butt splice and the marker works just fine. You may need to cut the wiring wrap to get a look at the two wires, but it is worth a try to t least rule out broken wires.