4x4 problems

I am having problems with my 4x4. When I put into 4 wheel drive and drive a little a horrible sound occurs. It sounds like gears and metal are grinding together and it feels like it is going to stall. Today this happened and I couldn't get it out of 4 wheel. It eventually came out of 4 wheel, but can someone tell me why this happens?? This is not the first time, and I can't use my 4 wheel drive? Can anyone help?