I am sharing my iMac's ethernet connection as a WiFi hotspot. Who is connected?
arp -a
gives a list of connected interfaces on the same network.

en1 is Wi-Fi
en0 is Ethernet (on the Macbook Air this is Wi-Fi)

How to use
Type this command in the Terminal located at /Applications/Utilities/Terminal.app. To learn more about this command, type man arp in the terminal.