How do I get more information on a potential network freeloader?

If he's already broken your encryption, MAC address filtering won't get you anywhere. The easiest and safest way to harden your network is to change the password to your network and enable WPA2 encryption.

If it doesn't show up under the DHCP clients, are you sure that it's on your local network?

I've noticed that the Finder's Shared section's cache doesn't refresh too often. If you computer is a laptop, I think it's possible that this pe-xpjalle was found on another network and then still showed up when you came back home.

Alternately, perhaps your machine roamed onto another network.

Possible?

On a somewhat related note, you can use the arp command to determine the MAC address of any IP address your machine has communicated with recently.

arp -a will show you your entire MAC table.

More info can be found here: http://developer.apple.com/mac/library/documentation/Darwin/Reference/ManPages/man8/arp.8.html