You are going to hear different noises when fully engaged into 4x4 - expecially low range. Your front axle is now pulling, and if you are on hard surfaces, it may bind or drag somewhat because of a slight difference in wheel speeds between the front and rear axles. This is pretty normal.
I would check to make sure that your front wheel bearings are all packed and in good shape - I would check the fluid level in your front differential (just pull the plug and dip your little finger in the hole - if you can touch oil it is good - if not, fill it till it runs out of the plug hole, then replace the plug).
It is also possible that the small bearings that reside behind the spindles have gone south. They are intended to guide the axle shaft as it passes through the spindle to the hubs, and they can go bad after few romps in the mud. They are not difficult to replace, and are not all that expensive (probably around $10 each side). You have to pull the front brake caliper, the rotor, bearings (perfect time to re-pack them!), and then the spindle to get at that bearing (it rests inside the rear of the spindle and it also has a small seal - which faces outwards of the bearing).