I had a 2005 4wd and if I remember correctly, here's what to use, and when.
1. 2wd is strictly rear wheel drive. Some of the 4wd parts are spinning (halfshafts, etc) but are "freewheeling" - that is no engine torque is sent to the front. Use this anytime. Fuel mileage is best in this mode, if only by a little bit.
2. 4wd high (center diff unlocked) can be used anytime. Some torque (I don't know what percentage) is sent to the front drive components. I used this in mud and snow and it worked well for what I needed. Dry pavement is fine to but fuel mileage will suffer slightly. Since the center diff is unlocked, you can turn (front and rear drivelines turn different speeds in turns) or go straight.
3. 4wd low can be used just like 4wd high but the gearing is significantly reduced. For example (I'm making up the numbers but you'll get the concept), if 20 mph in 4wd high turns the engine at 2000 rpm in first gear, the engine will be turning at 4000 rpm in first gear at 20 mph in 4wd low. I used it a couple of times to pull my sailboat and trailer out of the lake and up a steep dirt bank. Low speeds only and it'll pull like a tractor because of the lower gearing. I also locked the center diff because I was on loose dirt. See "Locked" below.
4. 4wd locked is used ONLY in low-grip conditions like mud, loose dirt, snow, and ice. Do NOT use it 0n wet or dry pavement. This basically locks the front and rear drive components into one complete and locked system. As long as you're driving straight, you're good, But if you turn at all and there's no slipping of the tires (like in mud or snow) the driveline will bind and the truck will bounce around. This is VERY bad on the driveline parts. From my understanding, if you're using 4wd unlocked, some slippage in the center diff can allow the engine torque to go to the spinning tire(s), which reduces torque to the gripping tire(s). 4wd locked sends the same amount of torque to each tire regardless of which tire is spinning and which tire has grip. Use the diff lock only in very slippery conditions when you want maximum torque at all four tires.