Android - How do I check who is connecting to 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).

If you've got access to a terminal on your phone (I guess that requires being rooted), then you can also run ip neigh show dev wlan0 to see what's in the ARP tables.

That should tell you the MAC addresses and IP addresses of everything connected.