Shifting noises

I have a 2004 bmw 325I and i notice a dull thudding type sound when shifting into and out of the first 3 gears. The sound is muted and is similar to the sound encountered when driving over a small bump. It appears to be coming from the mid to rear of the car. Has anyone else encountered this, and if so any idea what might be causing this?

I think that it would be a good idea to have the U-joint(s) on your driveshaft checked. It sounds to me like a U-joint is badly worn.