I agree with anilam - There is definitely some transference going on, but, from what you have said, I don't see anything unethical. Transference is a normal and common thing in therapy, and I think it is very important to talk about it openly and honestly. No one can "make" you feel anything, but if you don't talk about it with him, he may be unknowingly doing things to further your attraction.

I really suggest just being straight with him. It sounds like he cares about you, and I would suspect he would be willing to work with you on how to deal with your feelings so that you can continue to work together.

The sudden change in direction regarding "Sam" may be just that - a change in direction. It sounds like he was trying to encourage you to pursue other relationships, but you kept talking about Sam, and so maybe he decided to try being supportive instead. Therapists will tend to go with the flow, so if they try something and it doesn't seem to be working, they will take a different approach. I don't think it is an indication of anything wrong.

So, to sum that all up. I think it's really important for you to be honest with him! Please keep us posted on how things go

Edit: Oh, and, at least for me, it is not at all uncommon for therapists to talk to me about their personal lives. I know a lot about my current therapist, and I like that. It helps me see her as a complete person. Many therapists give details about themselves to help their clients feel connected. However, if you feel you know too much about him or if it is making you uncomfortable, just tell him that. Honesty is the key in therapy!