Under the hood close to the battery or behind rear right wheel. It's recommended to change the fuel filter every 20000 miles.
Actually there is no servicable fuel filter on the Jeep TJs. Like many other Chrysler products the only thong that resembles a fuel filter is a strainer on the bottom of the fuel pump. It's really not something to worry about until the fuel pump quits working. The strainer should be replaced whenever the pump is.