First off welcome to the site.
I've also got a 03 KJ (as if my screen name didn't give that away). Right now i'm getting roughly 16-17 in the city, sometimes as high as 18-19, and about 20-21 on the highway...and I do alot of highway travel, especially on the weekends. All of this is with the a/c on 90% of the time.
Chances are your KJ needs a tune up, and bad. For some reason the plugs put in by the factory are wearing out alot quicker than an average plug should be given the set up. I replaced mine around 10K ago (25K on the odometer). When I looked at them, they looked as if I pulled them out of a vehicle with about 35-40K on it. I replaced them with Champions and noticed it ran a little smoother at idle, and the milage went up about 1mpg.
My next trick is I am only running BP regular in it. For some reason i'm getting excellent milage off of BP fuel. I've tried experiments with other name brands such as Exon, Shell, and Costco, and they've all yielded results of 14, 15.5, and 13.9 respectively, with the exact same driving habits.
I also try not to over-rev the engine. Anything above say 3000 rpm and you're really just making alot of noise. The KJ is one heavy vehicle and while the 3.7 is capeable of doing the task of hauling all that weight around, it certainly wouldn't hurt if the engine were a tad bit bigger. About 2500rpm's is as high as I go when accelerating in city traffic (getting on the highway is an exception obviously).
Try some of those tricks and see if your milage doesn't get better. You say it's about 35-40 miles. Is this highway miles, city miles, little bit of both?
Again welcome to the site and enjoy browsing around...i'm sure you'll find out alot of stuff about your newly acquired KJ that I'll bet you had no idea about. \

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