It sounds like a bad universal joint to me. The same thing happened to me last summer but its an easy fix...less than $200. (8D
When you turn the wheel, or while you drive?
If you operate a front wheel drive vehicle, the clunking noise you hear may be a CV joint bearing going bad.
cv joints
it would be the CB joint it it's a front wheel drive vehicle with high mileage.
A clunking noise, when you put your car into gear, is most likely caused by a bad u-joint. A problem in the transmission can also cause the noise.
Mazda Proteges are known for their sway bar links to go bad around 80,000. They make a terrible clunking noise, but if intact (in most cases) the car is still safe to drive.
Worn out front sway bar links or bushings can do that.
Mine had a clicking noise and it turned out to be the front passanger side axle assembly.
I would suspect worn steering components, or front wheel drive components. Have this inspected as it could be a dangerous situation.
Possibly the sway bar bushings?
Check the CV joints. (front wheel & 4 wheel drive vehicles)
Answer Ball joints which are located behind the front wheels. Do not ignore it. Your wheel can actually break off while driving. Have it looked at ASAP.