Hey, I can really relate to what you're going through. And like everyone else, I'll reiterate that it is totally normal and really common to feel this way towards a therapist (think about it; you're sharing your deepest feelings with somebody who gives you his undivided attention and is caring and kind at a time when you're really vulnerable) and that most therapists would probably recommend that you actually talk about it.
My therapist likes to say that therapy should be a place where you can talk about ANY kinds of feelings that come up in a safe situation. Whether those feelings are romantic, child-to-parent-like, friend-longing, etc, you should be able to share them safely and not have any kind of negative consequence. A good therapist would NEVER dump a client for disclosing the kinds of feelings you described-- I think in some ways, as others said, it's really good that you're able to feel close and connected and cared about. Obviously not all ACTIONS are ok between therapist and client; it's ok to wish you could see your therapist other times/places but not ok to stalk him!
The tricky thing is, while it's completely understandable for you to have longings to be held and comforted by him, and it would be healthy for you to be able to talk about that with him, most therapists would deem it inappropriate to be physical, even totally non-sexually, with a client.
Maybe you guys could talk about your concern that he will ditch you (he should be able to confirm that he won't do that, and that he does care about you) and he could hopefully reassure you that it's ok to feel that way.
Therapy results in such weird relationships. It's such a unique situation-- it's genuine and interpersonal, and you do have feelings going both ways, but only one person is sharing, but it still is a 'real' relationship and I don't believe that all feelings towards a therapist are transference or situational. I think that in the best therapy situations, there is real warmth and caring, and you are seeing a real aspect of the therapist, even if there are other sides you won't get to meet.
ANyway, now I'm rambling. I do hope you're able to talk about this. It can be so hard and embarrassing, but if he's a decent shrink it can only help you and the 'therapeutic alliance.'