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If by "in gear or neutral doesn't affect it" you are saying that shifting to neutral or another gear while rolling doesn't change it then we know it isn't related to the engine. By any chance have you shifted part way out of 2hi on the transfer case? In any event, try shifting from 2hi to 4hi to see if it changes.
Beyond that, check to see if you have a rock wedged between the front brake rotor and the dust shield. Or a rock in the rear brake drum. Then check the U-joints - a dry one can sure vibrate, although there is usually a difference between having some power on, maintaining speed, and coasting. Oh, and make sure you don't have one or both front hubs engaged.
Yes the first things I checked were the front hubs and shifting in out of gears in the transfer case. I haven't tried driving in 4H, but will do that and report back.
The only thing I could attribute this to is just recently using the 4wd quite often with all this snow we got. When I changed the fluid today in the transfer case it was very thick and most likely gear oil, manual calls for ATF.
Someone may have put gear lube in, but they are supposed to have ATF as you said. Try the shifting and see if it makes any difference. If not, try the U-joints or look for rocks - maybe even one stuck in the tread of a tire?