It depends on what kind of router you have. Your basic Linksys router will show you a list of connected mac addresses via the web interface (192.168.1.1 usually), as is the story for most.
I found this post at macosxhints for various ways to check if you're using an Airport Base Station.
My best advice is to secure your network with a good password and mac address filtering.
Click on the ADministration entry at the top. Click on LOG beneath that.
there there are two options - incoming and outgoing log. Of course, you probably need to enable it first.