RBM wrote:

Not having any idea of the type of system you have, the only thing that I
can think of that may clunk when you turn it off, would be a solenoid valve.
Is there anything on or near the baseboard units? Are they hot water or
steam?

There is one of these doohickeys at the end. Or beginning rather, I believe.

http://mikkopel.dyndns.org:1000/misc/baseboard1.jpg

I haven't seen any movement, or anything when the noise happens, but
then again, I haven't watched it that closely. I just tried to watch
carefully, but this time it didn't bang. And it doesn't bang every time.

But a lot of times. And not just one baseboard. But some are still
quieter than others. I can't really seem to find any pattern.