2009 TDI Jetta make a clunk noise sometimes when it starts

I have a 2009 TDI Jetta with 600 miles on it. The question I have is that sometimes it make a loud clunk noise when the car is starting. This is my first Diesel so I'm not sure if this is normal or not. It has probably happened 5-6 times in two weeks.
What do you think? Is this normal or should I take it in to the dealer?
Thanks!
FYI - So far average MPG all city driving is 32-34 (Automatic Transmission)

You should have them look at it. (IF you can get it to do it ON COMMAND)
It is really frustrating to take it in and it won't do its' "trick".

My guess is a valve in the exhaust pipe that is just about the last moving part in the exhaust system. DB posted a diagram of the 09 exhaust system in the last day or two... It's around here somewhere.

Bill