It should have an indicator light...

You'll have to pull the dash to find out if the bulb is burnt.

 

ew, i will try to get a picture of my truck for you tmmrw if i can remember to, i have a wire under the front that got busted loose when i had to plow through a snow drift without my skidplate. i cant explain it really, but when it disconnected, my 4wd light went off, but it still goes in and out of 4wd fine?

 

Are you sure the front axle is engaged and 4x4 system is working?

 

zuke, if you are talking to me, yes i am sure, as i have been offroad with it like this lately, here are the pictures of the broken piece, sorry it took a few days been stayin busy

and if you notice in the one above, there are still the little metal prongs sticking out, and the piece that broke off has the holes for them, as you can see in this picture, when i put the puzzle together, the light is now working again, not saying this is your problem, but hey just sharing maybe this could help!!
btw, you will probally have to have the front skidplate off to see this well

 

Hi guys, this is my first post & I thought I'd chime on on this as I have a 93 4WD single cab with the same problem. I had it looked at & was told it's not the bulb but the sensor that sends a signal to the dash to light the bulb when the 4WD is engaged. It's about $60 new, I can here it go into 4WD & feel it when I am driving so I figure I'll leave it for now