I had the same issue from when I picked up my '04 X5 in 2/04, it was in the shop at 600 miles, never could fix the problem.
Low speeds while turning, in reverse, and faster turning while going forward would make the pop or thud, whatever the sound, happen.
BMW flew a technician in to Dallas who was supposed to be the guy who knew everything, I drove him, the service manager, and my service representative around and demonstrated the noise, you could even feel it on the floorboard.
After 5 visits to the shop, they replaced the vehicle.
So I got an '05 in 11/04, and the damn thing has the same problem, I haven't even taken it in.