In reply to Puppythedog:
It's the exhaust heat shield, as already mentioned.
Had same issue with it on a previous car. Cheap option is to take bolts out* (assuming they haven't seized), put some large penny washers in and do it up again - they're often a bugger to remove without taking the whole exhaust system off, anyway.
Conversation at garage at it's next MOT went along the lines of "it's a bit knackered, those washers won't hold it forever", to which I replied "when they give in, I'll put some even bigger ones on"...
Otherwise, do as Nniff said.
* - sucking eggs and all that, but don't do it when the exhaust is hot!