As vapilot says: check the DHCP clients list. Even if the offending "freeloader" isn't online at the time, it will probably show him/her in the list.
I have the MAC numbers of my computers listed on one of the pages handing on the study wall, so I can tell easily if there's a stranger. I've not had one yet.
What I do see quite often is software updating itself off the net. That's fine for some - not for others (see the Google Chrome thread!).
Skype will also use your PC as a "peer" sometimes, if you let it. I allow that on mine, on the basis other folks offer me the same service from time to time.