I have a 97 Sport, I used to push and hold the Cruise Control 'Cancel' button until the blinking red led to the left of my left knee (when seated) stopped blinking. It was as stated previously an 'anti-theft' device. I have heard of it on other Jeep too, and various different buttons that had to be pressed, switches switched and so on to de-activate the anti-theft.
Mine ended up causing problems with my electrical for some reason, if you ever find your engine back-firing, stuttering, stalling out or something wierd like that, have someone look into that device, and maybe removing it. Granted its nice while you have it, but I found it annoying when I'd lend someone my Jeep, and forget to tell them how to start it.
Anti-theft... its unanimous.