Could be one of two things. Either a worn CV (constant velocity) joint, if its this then the knocking is usually louder when cornering. The CV joint is usually about £15 - £25 to replace, if it is this I'd get it fixed soon as theres the possabilty it could go and you'll drop an axel (not good). Or it could be a loose caliper bolt. To check this jack the car up on the side thats knocking and remove the wheel. the caliper should be help to the hub by two bolts, check these are both present and tightened properly.
Steven Graham, May 2006