You're most likely seeing some other computer on your local network. Cable networks and some DSL are shared among a number of users and so can constitute a "local" network, so you're probably seeing a computer in someone else's house. It can't connect to you, not unless you have any of the sharing services set up (Sharing system preferences) and they either know your account names and passwords or you set up guest access. So you have little to worry about. But if you want to be complete safe, you can block the ports used by Mac OS X for various sharing services in your router. For a list of ports used, see:
Note that this will also block you from being able to access your computer from outside your home as well.