It would be strange that all lights would burn out at once. Does the climate control work normally? Don't know if there is a separate fuse for it, but just check your fusebox for any blown fuse. If you want to try to replace the bulbs, i found this on www.wjjeeps.com
Climate control, Automatic (P/N 5013123AA graphics, P/N 5013124AA knobs)
Eight climate control lamps are soldered onto the internal circuit board of the Automatic Zone Control assembly. These are unlikely to burn out for many years, but some owners have wanted to color the bulbs. To remove the AZC unit, the radio bezel and the lower bezel assembly must be removed. Both bezels are pried out using a flat hard plastic blade tool (see ashtray lamp section above). The AZC unit is held in place by 4 Phillips screws. After removing the screws slide the unit out and unplug the two wiring harnesses in the rear. To open the unit, remove the two smaller knobs in front by pulling them straight out. Then remove the 4 rear screws with a Torx T-20 screwdriver to separate the front plate.
Note: The AZC controllers for model years 2003-04 were reprogrammed. The factory suggests that these not be installed in 1999-2002 vehicles. Also, the AZC controllers can not be installed into models with manual controls.