"Things that go bump in the night" don't necessarily have to be monsters and goblins; in some cases, they can be sounds emanating from your air vents. Even though your unit is designed to click on and off whenever the system cycles, hearing any of the sounds listed below means that you need to schedule a heating repair service right away. Failure to do so can result in not only your unit not working properly, but it can even shut down your entire furnace and necessitate a replacement.
If your air vents sound like a can of BBs rattling around the back of a pickup truck, that usually means that something inside your unit is broken off and is clinking around inside your air ducts. This could be something as simple as a bolt that has fallen off, or it could be a piece of metal that is chipped off somehow and is rattling around. Either way, it's only a matter of time before that disconnection becomes apparent and causes a much bigger issue, so it's wise to get an HVAC technician to perform basic heating system repair as soon as you can.
A high-pitched squealing or whining sound coming through your air vents almost always means that something is wrong with your fan belt. This particular item is hard to reach, which means you'll need a professional heating repair service to replace it; if you don't, it'll eventually snap and cause your blower to stop working. The unit itself may be fine overall, but without a belt to rotate the fan blades, you won't have any hot air circulating throughout your home at all.
Few things can set your teeth on edge more than a metal-on-metal grinding sound, and if you've got that sound coming from your air vents, it's a terrible indication that something is wrong. Most often, this means that your fan blades have become misaligned somehow and are scraping along the inside of your unit, which can cause sparks and eventually tear away at the system itself. It needs to be fixed immediately or you'll end up having to do a major repair job on your system.
As mentioned above, you should expect periodic clicking sounds whenever your unit cycles, but if you hear a continual clicking sound, even when your furnace is supposed to be on, that means that your system is having a hard time turning on completely. The problem is usually something like a disconnected power source, which needs to be fixed by a trained professional. The danger could be significant even if you use an electric starter, but if your home runs on gas, it might be illegal for you to work on that connection source without the right permits.
If you're hearing strange noises from your heating equipment, call a heating repair service. They'll be able to help you with your issue, and could save you money down the road.