I agree that you should ask him in a non-threatening manner, and begin it by telling him what you found. As others have said, the cookies don't necessarily mirror the websites visited. Also, your definition of "very disturbing" and his might differ enormously, and the site names in the cookies might be a bit misleading as to their actual content.
Maybe it's a really bad situation, or maybe he just went to some sites, realized he shouldn't have, and tried to clean up after himself to avoid embarrassment.
If you assume guilt, you'll end up making any situation worse. If he's actually guilty of something bad enough to end the engagement, I'm sure that'll come out in other ways, but, in any event, asking him after letting him know what you found is probably the best way to get a reasonably honest answer out of him. Few people are comfortable admitting to a fiance about looking at what I'm guessing he was looking at, so don't make it more difficult.
Or perhaps the sites were worse that I'm thinking. As others have said, the fact you're bothered and concerned he's lying and doing other things is, perhaps, a good sign that this isn't the time to get married.