I keep hearing a clicking noise in various walls in the house. It sounds exactly like the clicking noise the thermostat makes when it kicks on except its actually in the wall. It seems to happen more when it cold outside.

I have a forced air system in a small 950 sq ft town home.

Do you have a gas heater? If so, you may be hearing a transmitted click from the gas valve when the gas line is touching a building member and the gas valve opens. Try this. With the heater not running, turn the heat up. You should hear a small click from the t'stat, an inducer fan running(if equipped) and then in 5-10 secs. another click when the gas valve solenoid opens. Is that the sound you hear? If so, see if the gas line near the heater is touching a floor joist. You can put some insulation foam under the gas pipe.

Actua;;y now I am starting to think its my plumbing stack... I have now noticed that the clicking increasing after people take showers or the dishwasher run... like I said it is in the wall not near the thermostat or heater so I'm confused... I have no problem doing drywall so I guess my answer might be to open up the wall..

Your comment clarified thing a bit more. You are most likely hearing expansion of the hot water piping in the walls. Copper in particular and CPVC also will expand and as they slide along the mounting points will sound like clicking. You usually notice this more in the winter as (A)-the pipes have contracted due to the cold and now are expanding and (B)-windows are closed and ambient noise is lower. At this point I wouldn't worry.

Thants sounds like a really good theory! I didn't think of that! I was wondering why it would be clicking if my stacked was clogged and I had no problem with drainage. Hot water moving through the pipes would make sense. I guess I can test by running just cold water through the shower to see if the clicking occurs.

Yes, but I bet it's heat expansion.