im guessing you have the vacuum operated system (switch on the dash, not the manual shift lever) as i had this same problem when i bought mine. im also willing to bet you have not used 4 lo for some time.
dieselcrawler has the right idea, but its not your hubs that are the problem...its the Tcase. the engagement "spline" (for lack of a better term) has not been used for awhile and is lacking any sort of lube whatsoever.
if all the above is right, then the "back up and goosin it" as crawler mentioned should do it. if not, i had to goose it in reverse, pop it in neutral while still moving and then get on the brakes pretty firmly, wait a few seconds after the truck stops, then shift to drive and let her ease forward. after the 2nd time she came out easily!
then of course you need to get out and use the 4 lo once in awhile to keep this from happening again
