There's a relay in the steering column. I'd check that if the fuses and bulbs are good.
This is more for led lighting, but there's a lot of good info here:
http://www.stu-offroad.com/electrical/led1/led-5.htm
Location of 97-00 wrangler:
http://www.stu-offroad.com/electrical/led1/led-3.htm
01-06:
http://www.stu-offroad.com/electrical/led1/led-4.htm
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