“Is it illegal for my neighbor to monitor what I do on my internet? I have a wpa2 security protocol and I keep changing my password but they keep getting on somehow. If it is illegal can I go to the police? I am living in the state of NY.”
Yes, it is almost certainly illegal, under several different theories, including trespass, and invasion of privacy, and quite possibly Federal wire laws. And yes, you should start with your local police department, but be prepared to bring hard evidence to file with your report. If you have such hard evidence, you should also call the local office of the FBI and ask them for their advice on how to prosecute the matter.