Some routers have logging capabilities, but...
..even if you see anything in a connection log, it probably won't tell you much that is useful, since you most likely don't know the computer names or IP's of your neighbors computers. However, it might be reassuring if you can confirm that there is actually no one connected, and it's just normal, maintenance-type network traffic.
In your router configuration, you should probably be able to find an option (under security settings or perhaps under a "Logs" tab) to log access attempts with the results. Usually you can tell it to log only failed attempts or all attempts. If you tell it to log all attempts, you could then search through the log file for successful attempts at the time you see the activity.
Probably a more important question is do you have encryption setup on your wireless router? If not, or if you have weak encryption, you should turn it on, or setup stronger encryption (WPA instead of WEP, for example). It's a pain in the butt to setup and remember the lengthy password (make it long and not a dictionary word), but do it once and you'll be much more secure. Also, write down your passcode and keep it handy in case you later need to connect another device, such as your work laptop or a wireless pda.
If you do have encryption setup, and someone is still getting in, you should of course change your passcode.
As mentioned earlier, putting in MAC table filtering (along with WPA encryption) should make you as secure as possible (unless maybe it's the NSA who is using your wireless router...hehe). To hack this setup, someone would have to a) crack your passcode and b) guess and then spoof one of the few MAC id's that you have allowed access. Chances are, your [possible] bandwidth mooch would move on to easier conquests.
Here are a couple links that might be useful, concerning encryption:
hope this helps,
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