I have a trane direct vent gas furnace/cooling system that has been making a very loud noise when it turns on coming from the side where the pilot flames are. Sounds like it comes from the air return vent. Heat works fine, just worried about the noise, if it's dangerous.

Its hard to say with the info you gave us. Is the sound inside the furnace when the burners come on or in the duct when the blower comes on. If its when the burner first kick on it may be dirty burners. If it is when the blower comes on check your return air filter it may be dirty making the duct pop.