Three things to check if it isn't working:
- there is a wire connector on the top of the transfer case that controls the lights...might be loose or cut
- I'm pretty sure there is a fuse for the lights...might check 'em
- if I'm not mistaken, some TJ's (I'm assuming thats what you have) didn't come with the plug. Has it ever worked?
If anything, as long as it goes into gear, it should run fine. The lights are only there to notify the driver. You can run without 'em with no problems.