Isn't it funny how the people with the highest self esteem are the ones that shouldn't have it? They think too much of themselves.
I used to side with Bryan - just above my post - but have changed my opinion/attitude as I've grown slightly older. Today, unless they're doing - or saying - something truly harmful to someone, I just let people be themselves. You're never going to change them - only THEY can change themselves.
Specific to the first post, in my opinion, stop doing the things (activities) that lead to your friend's overly competitive responses/actions without confronting him. He'll either get the hint and ask why you're not doing them or he'll just go do them with someone else. That said, when/if he asks you why you're not doing them anymore, you have to be honest and let him know - WITHOUT any attitude.
Lastly, if you do talk to him, don't talk for anyone else but yourself. Too many people try to drive home a point by saying things like "other people feel the same way" or "Tim, Tom, Cindy and Jill have said the same things." Remember - it's the responsibility of those other people to address THEIR issues with him, not yours.
Good luck!