Okay, so after all the problems I've had (see my previous threads if you're really interested), I thought I had everything figured out. My P0420 code went away after I put in the test pipe and spark plug foulers on the 2nd O2 sensor. Then the brake dust issue went away with some decent rear brake pads. And then the thumping sound went away with new tires.

Now I think I have an exhaust leak somewhere. I checked and tightened down all the bolts on the test pipe, they won't go any tighter. Yes, there were gaskets with it and yes I used them. I know that on my 03 Sentra, the torque in the engine could actually cause the engine to move, and the exhaust to separate from the engine (there were bolts with springs on them at the header/exhaust joint). I've noticed it only seems to happen in 2nd and 3rd gear, and only at WOT or close to it. Any ideas? Should I maybe pull the test pipe back off and put some silicone or something on the gaskets to make a tighter seal? Any input would be appreciated.

BTW, the sound isn't a tapping, so I don't think it's valves. It's more of a fast, repetitive "pffft, pffft, pffft" sound.