So assuming your truck is like a stock '95 should be no vac lines to anything, I'd agree with tomgreene. Check your linkage. If the 4wd light isn't coming on I bet ya something in the linkage is broken. It looks like this. The 4x4 switch is the one threaded into the case nearest the shift linkage. Get a friend to shift while you watch the linkage. Good luck.

If it's not that simple then unfortunately I think you gotta pull the transfer case out because the shifter cam inside the case or something is busted...I've never broke apart a transfer case so I can't really help you.

edit: so the short linkage arm that is on the transfer case sits on the flats of the shift sector rod which is part of the shift sector cam in the transfer case. Perhaps if the nut came loose that retains the linkage arm it could have ended up rounding off something. IF it were me and the linkage seemed to work fine, I'd pull the nut off that linkage arm on the transfer case and see what it looks like. If there's a problem with either the inside of the linkage arm or the shift sector rod flats it should be pretty obvious. Past that I think you're into transfer case removal time.