4 Wheel Drive/SUVs: 96 4wd gmc jimmy, loud thud, 4x4 vehicle

Question
My1996 gmc jimmy shakes badly in 4wd. When switching back to 2wd, it makes a loud thud before disengaging. Anything I can check?

Answer
Mark, check the tires are they all worn even? Check the front drive shaft is it tight
? Alos the noise from the transfercase shifing is normal for an older 4x4 vehicle as parts get worn inside, other than that dont really know what else to check without looking at it , thanks ADAM