2003 Ford Expedition rear A/C has a knocking sound when setting fan speed or temp.

You need to replace the blend door actuator, a very common problem on the Expys. Remove the passenger side interior panel, between the middle and rear seats. You will also have to unbolt the seatbelt - overall not a hard job. Just remember to have the gears on the new actuator set in the correct position as the one you pulled out or the door will tend to overtravel. ]
There are 2 actuators in that area, just to on the rear air to find out which one is making the problem.
The gears in the actuator are plastic and strip very easily, making the sound. I found a replacement at Advance Auto, but Im sure most parts houses have them.