Mine also does the same thing. I have no idea why though. When putting it into drive, it makes a loud clunk, same with reverse. When it shifts gears, it makes a pretty big clunk. When I'm coming to a stop and it downshifts, it makes a big clunk. Sometimes after it's driven for about 10 minutes or so, the clunking lessens, but it's still there. I've also noticed the clunking kinda lessens when I shift into neutral for about 5 seconds then into drive before taking off. My dad seems to think there might be 3 things that might be the problem: torque converter, loose u-joint, or needs a tranny flush. Other than that, I don't know.
Edit: whoa didn't realize this thread was that old. Sorry.
1996 Ford Ranger STX, 4x4, 4.0L, excab, automatic, power everything. 8.8 28 spline 3.73, K&N FIPK, Expo center console, Mustang dome light w/ LEDs, 2" skyjacker coils