Can a company use VPN to spy on me?
Should I be concerned that somebody can just watch me work
The other way to see it that your company does not want OTHERS to look at what work you're doing.
is there a way around it?
Use proxies, perhaps. Then you raise suspicion even more.
In light of your comments, you seem to have confused VPN for VNC.
Assuming you're talking about VNC:
[...] if somebody could witness my work habit [...] Is VPN going to introduce this possibility, and if so, is there a way around it?
is there a way I can always tell when somebody is VPNed into my computer?
Both, depends on the way the VNC server is setup. It is completely possible to have someone look over your screen, and not. It is possible for you to be notified that someone has connected to your system, or not. As I said, depends on the way the client/server is setup.
When it comes down to it, remember that a VPN is (basically) the equivalent of going to their office and sticking a network cable in to their switch and the other end in to your computer.
For some items such as anti virus, domain and a few other features, it is much easier to simply enable VPN access rather than publish these services to the internet and work out authentication/security.
On the other hand, you are correct in saying that a company can spy on you. By connecting to their VPN, you will be using "their" internet, everything will be routed via the VPN endpoint at their office and you will be connecting to their router/proxy/logging service.
As for telling if someone is connecting/connected, it is pretty much the same as being on a wireless hotspot - unless you have a firewall or monitoring program, you will not be able to tell... that being said, they will not be able to "get in" unless you give them administration over your machine, or they have some sort of remote access program on your machine.
If you are worried / paranoid over this, another solution may simply be to set up a virtual machine and do your work/vpn through that.