I don't understand the character's obsession with losing weight in the movie. But yeah, it was a really great movie.
Possibly, it could be a symbol for him trying to lose the "weight" of the "huge" guilt that he's been holding within him, for so damn long.
Speaking of Bale and weight concerns, he looks anorexic in another movie (now at theatres) that I want to see -- Rescue Dawn.
scottws edit: Added spoiler tags.