My mechanic replaced almost everything steering related (at no cost-having just bought the car). Clunk still there. Almost convinced it was the control arm bushings, but they looked pretty good.

Turns out it was just the sway bar bushings. For $34 at the dealer counter, its worth changing these first to remedy. Easy to do yourself.

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1995 MB E320 Wagon
2001 BMW 530i
2007 MINI Cooper S (!)