Check the gears

Sounds like you have a cracked gear.

Decoder!

If it's noisy at slow speed in both directions and seems to smooth out at the upper speeds, it is the fault of the decoder.  The decoders that Bachmann uses for their DCC Onboard line Is a very basic decoder and does not have the "supersonic" or "silent drive" built in to the decoder as more current offerings.  This is not meant that there is a problem with the decoders but the electrical "kick" that the Bachmann decoder gives the motor at slower speeds is at a frequency that can be heard by human ears.  The "silent drive" decoders give the motor the same "kick", but do so at a much higher frequency that can not be heard by us.  That will be the buzzing or it may even sound like gears grinding at slow speed.  Bachmanns at top speed tend to have more gear noise but then again, most locomotives at top speed will have some gear noise. 

P.S.  Bachmann non-sound decoders are made by Lenz.

http://www.dccwiki.com/High-Frequency_Decoders

Having read the first post and commenting on the 2nd....

I think Peter is on the right path with a possible craked drive axle gear or gears.  Run the locomotive slow on level track and see if the trucks "jump" slightly when you hear the clunk sound.  If so, it's time for a trip Back to Bachmann or replacement gears from NWSL.

Noisy Bachmann

Noisy Bachmann

Noisy Bachmann

Interferance

I believe they are there for reducing interference with other electronic devices as the size is too small to store enough energy to prevent stalling. 

They weren't there for a lot of years before the FCC started pushing RF interference standards.

Terry

Noisy Bachmann

I have a split frame GP30

I have a split frame GP30 that was noisy as well. I replaced the DCC on board with a Tsunamia sound decoder. After installation, I ran the loco on a loop of track at slow speed for 20 minutes, then half speed for 20 minutes then full speed for 20 minutes. I then did this procedure with the loco running in reverse. This quieted down the loco a lot. Joe.

RF interference

The capacitors are required by European regulation to prevent RF interference.  I don't think they are required in North America.  They have no function as far as the operation of the motor or model are concerned.