New to this forum, owner of a 2006 S40, with 95,000. The car developed a knocking noise going over road imperfections, in New England pavement cracks are plentiful due to freezing and thawing, never mind pot holes, even just these cracks you hear it. And this came on rather suddenly, no slightly there and then getting worse and worse. Seems to be the passenger side front. 28 second video here to let you hear it and see the road surface that generates the condition.
I had a Mazda 3 a while ago and had a very similar sound I could never figure out. This car is in too good a shape for me to just "get used to it".Searched your forum for similar problem but found nothing I could say was exact same problem I am experiencing.

 

I'd start by jacking up the car taking off the front tires and looking at the rt front suspension stuff. The car seems to ride well over the cracks, but makes a noise as if the strut is loose, and the mount is making noise as the wheel goes over them.

TF

 

Common include strut mounts, sway bar bushings, sway bar end links and possibly the front nose motor mount. Usually control arm bushings come with wobbly steering or wandering ride. +1 on the wheel removal inspection. Check for loose lug nuts immediately, then inspect for loose or broken bolts, brake calipers included.

 

I had a similar issue and found that one of the bolts on the strut (mine are an 18mm bolt with a 21mm nut) wasn't as tight as it should be. With the wheel off, you could push the strut in and pull out and see that there was movement at the bolt. Tightening stopped the movement and the noise.

 

Thank you all, will check this weekend and post my findings.

 

Ended up being the the sway bar end link (?) nut had come loose where it attaches to the sway bar. Thanks for your help.