It's on a well. It does not have an expansion tank. There was not one installed on the original system back in 2001 and the plumber did not even mention installing one for the replacement in 2012.Do you have a expansion tank ? Are you on city water ?
Some noise can be expected due to expansion from a cold to hot water tank heating up.
From what I have seen, The better heaters DO NOT have a plastic drain valve. A plastic drain valve is a dead giveaway of Cheap.
Sorry, I wasn't completely clear in my original post. Seems like every time the burner turns on I get the thumping noise but it only recently started happening. I'm would have thought it would have thumped from day one if it was due to expansion. It does have a plastic drain valve and if I remember I purchased it from Lowes. Thanks for the help.