Mine has it also and many others have experienced the same noise. Its' an issue with the passenger side shaft. Read the link below from the mazdaspeed forums. Sometimes it's annoying! My car is at the dealership right now and that is one issue they are working on.
Pop/thump/clunk noise (gear changes) Found!! - Mazdaspeed Forums
Pop/thump/clunk noise (gear changes) Found!! - Mazdaspeed Forums