Take a look at the lower control arm (LLK), especially from underneath, and pay attention to any oily spots. Even small holes in the LLK can have serious consequences – your description is very similar to the defect I had, which was caused by a relatively small hole that made similar noises and also produced soot.
Take a look at the pictures:
http://www.informatik.hu-berlin.de/~richling/tdi/
"Sorry for the poor quality; I didn't have my digital camera back then. If you're interested, I can take some new pictures sometime in the next few weeks, as the LLK is still around."
Best regards,
Jan.