How do I check who is connecting to my hotspot? Is there any way to check who is connecting to my hotspot? I am using a rooted Samsung Galaxy SII.

I use the SII's tethering feature in: Settings > Wireless and network > Tethering and portable hotspot > Portable Wi-Fi hotspot settings > Portable Wi-Fi hotspot to create my hotspot.
As mentioned in a comment it really depends on what app you are using to provide tethering.

On the stock HTC tethering app there is a view called "Manage users" which lets you see a list of connected devices listed be resolved host name. Touching each device reveals its hardware address and currently assigned IP address.

As far as I can recall it is the same for the stock Samsung G S2 (at least in this region - northern europe).