In my opinion it's definitely worth going to AT's as a minimum. To be honest, I cannot see the logic in having HT tyres on a proper 4WD with low range. You may as well have a 2WD SUV instead! Plus I haven't found road noise or fuel economy to be that big of a factor with AT's at all.
I put a set of Hercules Terra Trac AT in P235/70 R16 on the wife's KJ and so far they have been faultless. Heaps of grip in wet, dry or sand, look pretty good and no road noise at all. Great tyre if you're looking for something that is cheap (Paid $160ea from memory) and also made in the USA.
I run Goodyear Wrangler Duratrac AT in LT245/75 R16 on my WJ which are just simply fantastic tyres. If you're looking for something a bit more aggressive than an all-terrain, but not noisy like a mud-terrain, these are the tyres you want. I have had mine for almost 25,000km and they are hardly worn, maybe 3-4mm off the 15mm tread depth they came with. They have been great in the wet and dry and they did an awesome job towing my camper trailer all over Fraser Island from Geelong and back. The only downer with the GY Duratracs though is the price tag - they retail for over $400ea! Luckily I managed to get my set of 4 slightly used and 2 brand new ones very cheaply.
Along the same line, Kelly Safari TSR AT are made by Goodyear and essentially are the same tyre as the Duratracs, with a different tread pattern and much cheaper. They are also a very aggressive AT.
In reality though, you're probably after something a little more street friendly, so the Yokahama Geolanders, Bridgestone Duellers, or something similar are probably a safer (and cheaper) brand-name bet for you. And personally, I wouldn't bother venturing down the BF Goodrich AT KO or older Cooper AT tyre path. Sure, they last for 100,000km's but the rubber is so hard after a couple of years that you be spinning out in roundabouts at the first sign of rain. Trust me, it happened to me a couple of times with my BFG's - scary shit!!
This is just my opinion based on my experiences. People will differ in their views on tyres, but just remember that everyone uses their vehicles and tyres very differently, so you're not always comparing apples with apples.
Good luck searching - it's fun!! (NOT)