*Update in comments* NWR: best friend in love with an engaged man

Oh dear OP. I'm really sorry you're in the middle of this. It's a very uncomfortable and complicated situation for everyone involved. My heart breaks for everyone. This is clearly an illicit relationship that damages more than just the people involved (think family, friends of the previously engaged couple). Plus, even if this new relationship is legitimate, it's now rooted in infidelity and deceit which is extremely hard to come out of. My advice is be the best friend you can manage to be until you feel like you can't be friends anymore. Your friend could be going through some tough stuff, especially if this relationship doesn't pan out and she will need support. You of course aren't obligated to give her that and you have to put your own emotional health first, but there will be another side to all of this eventually, whether it's good or bad.

No advice I just really feel horrible for his Fiancé... She probably has no idea she is marrying a pig

Oh wow! I would be uncomfortable too! I would just be very blunt with your friend, she's putting you in a situation that makes you really uncomfortable! He's obviously a douchebag because he's made a commitment to someone and sleeping with someone else! I'd be worried that his fiance would find out about it and eventually confront him at your place... Ya never know! Anyhow, I guess if you're roommates you can't tell her who she can and can't have as her "company" but If definitely tell her it makes you uncomfortable and you don't want the drama catching up with you. But as her friend (if you're close enough) tell her that she's cutting herself short by doing what she's doing.