3.07, 3.54, 3.73 & 4.10 just like all of the other Jeeps. if you're keeping the 2.5L then you'll need to use a transmission from a 2.5L. Now I'm not sure if you'll be able to remove the tail cone and swap a transfer case on there but you'll have to be aware of spline counts on the transfer case input shaft. The 4.0L is 23 while the 2.5L uses a 21 spline. Although there are not only spline count differences but depth of the shaft. In all there are 5 different shafts. Transmissions are engine specific. 4.0L will have either a AX-15 5-speed or an RH32/TF999 3-speed. A 2.5L will have a AX-5 5-speed or a RH30/TF904 3-speed.
Jeffy... did someone forget the aw4? It's not exactly preferable behind the 2.5, I know (heck, nothing but a five speed is), but it was used behind them too.
PO: Transmission swappability is very widely discussed on here. The best case scenario when swapping to 4wd is ax-15 (or nv3550?), np231, dakota 2.5L bellhousing, and the appropriate parts to adapt other things. There is at least one recent thread on here about ax-15 swaps that will link to other information sources. This swap is kinda like a "full optioned" one.
Otherwise I believe the tailcone of your ax-5 can pull off and adapt to the correct np231 (21 spline).
axles: you'll want a 2.5 XJ front axle, it'll be an HP30 with 4.10's (most likely). Otherwise a 2.5L TJ (I think ZJ and WJ are the same) LP30 will bolt in but wont be as strong. Last viable choice is a 2.5 YJ HP30, which will fit and all but require brackets (which can be pulled off your current "axle" as needed). Same information applies to all jeep 4.0 front axles, except most will have to be regeared to match the rear.
as always, anyone correct me if I'm wrong. Good luck!