I drive a '94 ZR2 pickup.. but at the moment my 4wd is not working.

The indicator lights used to work, but the front tires never engaged...
Now, neither the lights turn on, nor the tires engage. What could be the possible problems I have? Transfer case? Fuse?

(The lights DO blink when I start up the truck, but pushing the indicator buttons does nothing.)  

Bad front axle actuator. It uses the old thermo style which do tend to fail with age. The actuator controls 4x4 light and turns it on when it is engaged properly. It is possible to retrofit a 98 on servo drive actuator on it.  

Are you saying it only controls the lights? Or do you mean it's the electrical component that controls the front differential AND the lights?  

Lthlinjction:
Are you saying it only controls the lights? Or do you mean it's the electrical component that controls the front differential AND the lights?

The later. Again they fail a lot with age too. The newer design that is servo driven is a lot more reliable.