Loud "clunk" in 4WD

This has just recently started and I dont know what it is. Whenever I put my TJ into 4WD and back up, there is this loud clunk coming from somewhere in the front end. Any ideas what it could be ?

Only when backing up? Does it do it with the wheels straight, or when they're turned, or both?

First thing I'd check would be the lug nuts on the front; if they're loose then the wheels would clunk when they started pushing backwards.