Same thing happened to me in my 2000 XJ about a month or two ago. Full blast, nothing else. Its your resistor block. At full blast, your blower motor sees 12V. To make it blow slower, the switch adds a resistor or two in series with the motor so it sees less voltage. One of these goes bad and next thing you know you have an open circuit, except when you bypass the resistors because you are on full speed.
To fix it you have to buy a dealer part for about 25 bucks and find it under the dash. Its not by the switch, its in the ductwork. XJs and TJs of the same year have pretty similar interiors, so I assume yours will be behind/below the glovebox where mine was. Its rectangular in shape I believe, with 2 screws holding it in. The hard part was finding it. It was really easy from there.