Be honest with him. "I am not comfortable.... [and expand as need be]"

Or compromise - set a budget that you are comfortable with that you both agree to stick to.

Plus, it seems quite a bit intrusive that he wants to buy you things that HE thinks you ought to wear (fancy stuff, matching underwear etc.). Instead, he ought to learn to respect other people's boundaries and other people's likes and comfort levels instead of trying to change others according to HIS preferences. As is, 'check with me, before you buy me stuff that I don't/might not like'