It doesn't matter how much you two may have in common or how deep of a "connection" you may feel with him. It is NEVER a good idea to befriend a male colleague who is married. When interacting with your married male colleagues, be professional and limit all communication to work-related topics. If you want a work buddy, hit up that HVW in the office next to yours. Nothing good can come from a friendship with a married male coworker.