Is it a mid-90's 5 speed, S5D 250G?  If so, the latest Roundel had a Tech
Talk
article on it.  They noted SIB 23-02-99, it's a problem with incorrectly
machined
sleeves in the gearbox.  Rebuilding it with a new 1/2 sleeve is the only fix
(other than a new gearbox.)

FloydR

What car?

I'm inclined to suggest motor mounts and/or transmission mount. These are
cheap and easy. However, there is always the chance that your transmission
is toast, but that't expensive and hard. Cheap and Easy is always first at
my house.

I'm on my second E39 5-speed manual that does the same thing, except
mine always pops out of second gear, especially if I just shifted from
first to second quickly, followed by hard acceleration.  It happens
occasionally in both my E39's and it does make a fearful bang.   I've
found that if I really make sure the shifter is well seated in the
second gear position before releasing the clutch that it will stay
there, no matter how hard I accelerate.  This slower shifting motion
slows me down a little bit of course, but it does seem to solve the
problem.  I guess when I shift too quickly the gears don't fully mesh
even though the shifter won't move back any further into the second
gear position.