That leaky thing is an inline transmission fluid cooler. Required by Ford if you've ever had the transmission apart, but a good thing to have anyways (I run the same one too preventively). A little seeping is noting to worry about, although trimming bit of hose on either end and new clamps should fix it. Most definitely not your source of the clunk.
Did you check your hubs yet? The front axle isn't build as tight as the rear, so if you have the hubs locked in, the slop on the gears and axles can cause clunks when you are in 2WD.
