99 jimmy 4x4 auto trans is making a knocking sound similar to that of a lifter noise only when warmed up and when in neutral, or between gear shifts or when I let off the gas.

You may have inadvertently disconnected the shift cable at the transmission, or the cable end may have broken.

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On the 1995 Jimmy, the shift cable can come loose on the mount on the side of the transmission where the cable meets the trans. When it slips, the alignment goes off and causes the driver to not be able to put the trans into park. If you take a long stick you can push the shift arm on the trans to the park position and your trans will go into park.....what you (and I) really need to know is how to take the shift cable mount apart and reset it.

your description is not clear. the throwout and pilot bearing only work when the pedal is depressed. and dont make knocking noises, so rule that out. If the noise is when the car is moving and in gear, the trans maybe bad. makes noise in all gears at 2200 rpm? trans needs to come apart.

does it lock up in any gear? sounds like blocking rings trying to stick, what type oil did you put in it?
should take auto transmission fluid

well, if you are sitting still it is recommended you put vehicle in neutral and select 4x4 indicator to desired posistion..... 4 high...4 low...or 2high (auto) when you select 4 low the top speed is not to exceed 25 mph. It is a very low gear for crawling or pulling. At any time you need 4 low gear you must stop trk, shift to neutral and select 4 low. The same procedure is done to change from 4 low to 4 hi or 2 hi. if not done this way internal trans, transfer case or driveline failure will occure. At any time you may shift 4x4 selector from (auto) or 2 hi to 4 hi, and 4 hi to 2 hi or( auto).****** But note, do not make shifts while tires are spinning or under power (acceleration)******* While driving you can make shifts at any speed between 2 hi (auto) and 4 hi and back to 2 hi. release throttle a little and select. you do not have to take foot off throttle all the way! just enough that truck is not under a power, load acceleration. If tires are spinning or you are on the gas and you select gears from 2 & 4 high the posibilities of severe damage can result. Also note that 4x4 is not recommended on dry pavement. When 4x4 is being used also take care as to the handling and the steering characteristics change, On tight turns the front wheels will bind and possibly **** a little. If you have never had a 4x4 before, obey what i have told you untill you get the experiance and you will be fine. HAPPY TRAILS.... AND A LITTLE 4X4 FUN!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!

Most likely it is the rockers tapping the lifters. the crankcase has only leftover oil in it at the start, and has to wait for the oil pump to get it there.
I would add a stablizer to your oil...like LUCAS. It may help a bit with a cold engine.
If the knocking is in the piston, then you should see some indication on the spark plugs...like oil or blow-by build up.

Sounds as If You Have A Chipped Tooth On the "RING GEAR" in the Differential (Rear Alex).
Is this Where You Hear The Noise Coming from? If So Remove Diff Cover With One Wheel OFF The Ground Trans In Neutral Rotate Drive Shaft and Look Closely For ANY Abnormal Surface on EACH Tooth of RING GEAR= the Large one And The "PINION GEAR" the Small one. If you find Chip or Rough spot Diff Must Be Rebuilt. Beyond that A Pinion Bearing can Also Make A Knocking Noise But the "GEARS" Will Be a Rhythmic Noise. I Hope this is of Some Help To You Good Luck !!

I don't see you did anything wrong per your description.
With the engine off, check the level of the transmission oil, replace the dipstick, start the truck and recheck the fluid level, level should drop. This will indicate the front pump is working.

Next, with truck running, put transmission into any gear, then return to park position. Do you hear any ratcheting noise.

Let me know.
Regards,

could be yur water pump going do you leak anti freeze or oil? also if a older model could be ot of timeing check your distributor cap and see if its loose
good luck