This doesn't sound normal to me. If you purchased a new home, then your furnace should be under warranty, so give your furnace company a call. It may be something really simple.
After some googling, I found some relevant info:
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Posted by: rich on April 01, 2002 at 10:07:52:
i have a friedrich forced hot air natural gas furnace. after the unit warms up and about 10 to 15 seconds before the blower kicks on i get a banging sound comming from the furnace. i have cleaned out the unit and made sure everything is tight. could it be a motor or a relay switch of some type? please give me any ideas if you have them. ty.
In Reply to: banging noise in furnace Posted by: rich on April 01, 2002 at 10:07:52:
I have installed many forced air systems. One cause for a banging noise is the return air/ supply air plenum connected to your furnace. When the blower comes on your return side of your duct system will tend to bow the duct in. On the supply side the reverse happens. I sharp bang is heard at the start of the blower and very possible at the end of the cycle. A solution would be to watch the duct as the blower kicks on. If this is the cause of the noise, I would cross brake the duct. Or screwing a latteral brace to stiffing it.
In Reply to: Re: banging noise in furnace Posted by: Tinner Dave on April 10, 2002 at 00:58:53:
:while bracing duct work amy be the answer checking the operation and duct size of the return may also be in order if the static pressure of the system is to high duct noise and banging may be very well occur. if the blower motor is to big for the duct design there are other problems waiting to happen . suggest qualified hvac tech check static pressure of duct work with any vacumn pressure gauge, ie incline manometer or magnahelics gauge. have seen blower wheel failures due to eccessive pressure
source:
http://www.handymanusa.com/forum_eight_msg/2949.htm