I can hear an audible, light thud when I first apply the brakes after moving off. I hear a similar noise when the front end goes over speed bumps (slowly).
What worn components should I be checking for?

Might start with the sway bar bushings there. Or possibly the air strut mounts (top and bottom)

what does the thud sound like, is there a metallic ring to it?

It is a light, muffled thud, not felt. Not metallic. It is almost as if the brakes have split second pause and then they bite. Similar sound when I go over speed bumps.

I have ordered the ball joint boots from Bulgaria via eBay to replace the upper control arm boots that have just rotted away. This will be a good chance to have a look at all the usual suspects.