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My explorer did that also, I had some play in the transfer case where the drive shaft bolted on, I also had another problem, my 4x4 low light was stuck on and it was not in 4x4. I put in a transfer case from a junkyard and everything works fine now, but I noticed that I now have no backup lights, check that out, it worked for me.
OK, now that I've gotten the smart alec out of my system, I agree that the most likely problem is in the cable or possibly the speedo cluster. I'd start by checking the cable and possibly lubing it if it looks good (no abrasions through the casing, etc.).