They can see your traffic, your MAC, and possibly your hostname, but unless you have a specific reason to do so, I wouldn't worry about hiding any of it.
If you're still interested, on any UNIX-based system (including os x), this command will change it
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ifconfig eth0 hw ether 00:11:22:33:44:55
Assuming eth0 is the interface you want to change, and 00:11:22:33:44:55 is the MAC you want to use. I don't know how to change your MAC under Windows. Changing you MAC randomly while connected is probably a bad idea.
Your hostname is easy to change, you can it out yourself. As for your traffic, you have to try to encrypt all your traffic, if you're just browsing the web, try to stay on https websites instead of http