I used to check /var/log/secure.log
for ssh connection attempts.
But since upgrading to Mountain Lion it's gone.
Thanks to user @ben_fry on twitter, we have an answer. In short, secure.log auth events have been rolled into asl (syslog). Stack won't let me post more than one link so the answer I wanted to post here is on my blog:
http://leoofborg.tumblr.com/post/29470691922/hey-apple-wth-happened-to-secure-log-in-mountain
Note that I have not changed over my denyhosts to use asl so I do not know if this works, but according to the folks on twitter it does.