4w drive clunkin bad going out and in???

I have had my 97 Jimmy for about 3 week. I have noticed when i go out of 4 wheel drive at about 30mph, it clunked really bad. I thought i had hit a huge pothole. Well it keeps on doing it. I even have tried being at a dead stop and taking it out of 4 wheel drive..still does it. I have just noticed that now going into 4 wheel drive it is making a clunking noise, but not as "harsh" or loud. The only way now to get it out of 4 wheel drive is to go in reverse for a little bit, then drive again. I shouldn't have to do do that! And now I am worried about the clunking into 4W hi. Living in Michigan, i don't want to worry about the 4W working, that is why i bought it..............Please help!!!!!

1993 Jimmy and I was out on lake ice fishing and got stuck in about 10" of snow...It would not go into 4WD...and I had to dig it out and rock it just like a standard 2WD...then I had to stay in the track and back off the lake...At least I got off and home without assistance... :o) I guess I should be thankful...