No... he never really tells me to lose weight. He does often ask why it is we own a treadmill and a weight bench when nobody ever uses them.
I dunno... it sounds to me like perhaps your boyfriend is having some issues about his own appearance and he's taking it out on you to make himself feel better. By no means is this an excuse for his behavior though... because he should love you for who you are. It's one thing to think someone should start working out because they are concerned about that person... it's another thing if the person thinks someone should start working out because they feel they could never marry someone "with all that fat".
You may be afraid to bring this up with him... but the fact that you are afraid of how he will react has to say something in itself. You should really take a look at the whole situation and decide whether this is really where you want to be.