I am currently experiencing this same problem and thought I would check here to see if anyone had any ideas. I too have an 03 TJ (6 cyl though), and experience the clunking when shifting from 1st to 2nd. The clunk is heard as soon as I depress the clutch to shift to 2nd. It also does the same thing when I clutch while in reverse. I hear the clunk and feel what I will call a tap on the clutch as the same time.
All other gears shift smoothly. Anybody else have any thoughts?