I had the same kind of sound out of another type of vehicle. It was the belt tensioner pulley bearing. Do as suggested above and remove the belt and check all of the pulleys.
First thing I would do is change the fluid and filter. If the filter is significantly clogged it could cause all kinds of problems. This is very cheap and will need to be done anyway if the transmission has to be rebuilt.
I would say you've got transmission and/or transfer case problems. I don't know enough about them to diagnose what specific failure might cause your problems
Hey everyone! - Just wanted to say hi. I just purchased a 2003 Grand Cherokee Overland last week. I look forward to learning lots of things on this site.