Since you are Canadian, you do not require a visa to visit your fiancé. You can marry in the US and return to Canada. Your marriage doesn’t change anything else – you’ll still be a Canadian citizen and resident.
However, what may change is the attitude of the CBP toward you. It is only for that reason that you may want to look into getting visitor visas to travel to visit your spouse, once you are wed. Whether or not you do apply for these, you should carry proof of your intent to reside in Canada with you when travelling to the United States:
- a copy or your lease or deed;
- paystubs from you job;
- bank account and credit card information;
- anything else that proves you cannot up and move to the United States on your current trip.