Sticks in 4WD after switching

While in the garage I can switch the 4wd switch from 2wd-4wd-4lo-auto and back again feeling it switching in the tranny. When I drive it and switch to 4wd, it stays and will not switch to anything else, and the service 4wd light comes on and stays on? It feels like it is driving in 4wd but will not come out. Once back in the garage I can then shut the Yukon off and turn it back on and then switch it back to 2wd and it will drive in 2wd fine? Turning the Yukon on and off seems to reset something? I have tried taking the fuse out, I have replaced the switch in the dash. I am now at a loss and winter is coming. Any help would be great. Thanx