Primarily movement, all the way back to the tranny.
I looked around my computer but don't seem to have any pics of everything it should look like.
There's some linkage connections under the front hood. Look straight in towards the shift lever. Make sure everything appears connected and cables are moving when the shifter is moved from gear to gear.
Once you're done there, while someone is moving the shifter, check the other end of the cables where they'll connect to linkages that go into the tranny. I believe they come in on the passenger side and one on the top. Same thing of making sure everything is connected and moving.
If your shifter moves very easily into every position, whether the RTV is running or parked, it could be a disconnected cable.
BTW, the emergency brake is off, right?
I'd also test trying to move in 2WD as well as 4WD.
Does the engine bog down at all when you put it in gear and try to go?