Put the specs of your car into your signature, so we know what you're driving. If it is an earlier model Trackick, then you have the Aisin manual hubs on your car. These can and should be serviced yearly.
Manual Hub Clutch Assembly
As a test, you can completely remove the entire hub from the car (the 6 screws that are furthest away from you on each hub) and drive. See if you still get the clunk when you put the transfer case into 4wd. If not, then you know the hubs are the problem. Aisin hubs are easily serviceable.
In any event, you should check your transfer (and tranny) fluid, as well. Are you manual or auto tranny?? The transfer case has a filler and drain plug. BEFORE you remove the drain plug, make sure you can get the filler plug off the car. Transfer case fluid (GL-4) should be filled to the filler plug, with the car level. If you have never changed these fluids (tranny and transfer case) it is a good idea to do so, even if you find that this is not your clunking problem. Might want to consider changing the oil in the differentials, as well (GL-5)