That clicking is something that i never really noticed until you guys talked about it, and the reason is we have owned other Dodge/Chrysler vehicles and after a while you just get used to it i guess and don't notice it. Our Dodge Caravan we used to have had that same distinct noise, its the solenoids in the trans. My Jeep does it to, just reminds me of the van we used to have. That van went to 215,000 miles before i got rid of it, and that trans never had a problem.
My 03' Sport does that same thump when slowing down to come to a stop, if its going to do it i know exactly when as its always when it drops into first gear. I thought it was that rear ball joint so when i was under there putting the hitch on it last week i checked it and its nice and tight, not much play, seems fine to me. So then i did some experimenting, when up to speed i can shift the transfer case into neutral before braking, then no thump because the trans is disconnected from the drivetrain, but with it back in 2HI i can speed back up and slow back down again and there is the thump when it shifts to first gear. It's just one of the KJ's quirks, sometimes it does it, sometimes it doesn't. I notice it more when i have the AC on, i think thats because the ECM increases the engine speed to handle the load of the compressor, maybe? I know our PT Cruiser will idle a bit faster when you kick on the AC.
Anyway, i'm not too worried about it anymore.