What kind of adaptor do I need to connect RJ45 / ethernet cable to my Macbook Pro Retina display?
Your best bet is Apple's Thunderbolt to Gigabit Ethernet adapter.

There are also assorted USB ethernet adapters available from various sources (including Apple), including a few Gigabit ones that use USB 3.0, but the Thunderbolt one will likely have the best performance, so unless you're using both Thunderbolt ports already, that's the better choice.