Unfortunatley, I am familiar with such an event.
If you read my post on the Kill/Fish stories section, you will see that my turbo just died. In my case, I was starting to get a screaching type of noise after letting off, and of course what it was was the fins of teh turbo wheel tipping aginst the housing.
I know nothing about your setup, so if you have a larger aftermarket turbo, and some big plumbing, what you may have is just the typical turbo flatulence tht many of us experience. Are you stock?
Regardless, it should be easy to check and see if your turbo is on it's way out. Pull the inlet hose off of the tubo housing and see if you can tell if there has been any contact between the housing and wheel. And then grab the end of the shaft to see if there is much play (there shold be VERY little movement from side to side) . You might also want to pull the up pipe off of the throttle body to see if their is any oil present.
Good luck....