I mean, I think this is THE QUESTION, isn't it? Agonizing, torturous, nervewracking -- all that stuff. I'm the last one to give advice (and yet, here I go!).
I was a closet CDer for 25 yrs -- since I was about 12. I was embarrassed and in denial about myself. On one hand, I'm a very masculine guy, and I enjoy being that way. On the other hand, I sometimes feel like a very feminine girl, and I enjoy being that way, too. Once I just accepted it for what it was, reconciled and made peace with it in my relationship with God as a Christian, I felt much better.
But I still had a secret. Secrets between spouses are bad. Bad bad bad. They eat away at marriages. My wife was and is my best friend, and yet, she didn't know me-- not really. Now how depressing is that??? And how lonely is that?? I was terrified to tell her -- 10 yrs and 2 kids into the marriage especially. Finally I did, and her response has been ... well ... lukewarm. She has good days and bad days about it. But because we love each other dearly and have a strong marriage and a strong friendship, she has not had any second thoughts about staying with me and even trying to support me the best she can. And THAT is a blessing. I can finally be ME -- in whatever form that happens to take on a given day. I try to respect her feelings and boundaries the best I can, even if they are uneven and inconsistent at times.
So I say, if you have a solid marriage with a strong foundation of sommunication, then you need to tell. When you tell and how you tell are topics that only you can address, because nobody knows the dynamics of your relationship or the personlities involved better than you. Every situation is different. But I think you make a mistake in not telling eventually, because you WILL get caught ... eventually. And I think that is worse. Just my 2 cents.