I have a 2002 Chevy Trailblazer LTZ 4WD. When I shift from 2WD to AWD I notice a clunking noise/ (on a smooth road it feels like bumps) when I shift into 4WD the problem goes away. It only occurs in AWD
Do all your tires match in treadwear/make/model/size?
Check to ensure the transfer case electronics are good. Are you making this mode change while stopped or under 3 miles an hour?