Xander is a flawed human being. Which is exactly what makes him so wonderful. In fact, Buffy is flawed. Willow is flawed. And Giles, Anya, Spike and Angel. All of them are imperfect. Each of them has different demons to fight. This is what makes them compelling.
Xander loved Anya. Really, he did. He asked her to marry him in a situation where he was sure they would both die. It was an impulsive, romantic gesture. He was not ready to be married, but he didn't know how to get out of it after they had survived. At the Magic Box when Anya was doing her capitalist dance, he saw her as so charming, he felt so in love with her, that he made another impulsive, romantic gesture: he announced to everyone that they were getting married. Now he was even more stuck, even though he had doubts about getting married.
His doubts stemmed from watching how his alcoholic parents tore each other apart, day after day, for his entire life. I come from a family that did this. I have never been able to get married, because I don't want to live in the Hell my parents lived in. And Xander would be, literally, marrying a demon. Of course he has doubts!
Xander is so afraid of disappointing Anya that he cannot talk to her about his fears of marriage, except in the song he sings in "Once More With Feeling." Anya, in turn, has ignored the signs and continued to pressure him into marriage, believing that Xander has normal pre-wedding jitters and not really understanding where he is coming from. She heard the song in OMWT, but she never tries to have a discussion with Xander about their mutual doubts. She is in love, too, and is afraid that if she starts that conversation, she'll end up losing him.
The day of the marriage comes, and Xander is shown a scenario that is frighteningly like the one he fears the most. A lifetime of a loveless marriage, in which he has ruined not just his own life, but the life of the woman he loves. So, again impulsively, he walks away. He honestly feels he is doing it for Anya's good. He feels this way, that is, at the moment he does it, but later he realizes how badly he messed up and regrets his decision. This is very, very human. If you have never deeply regretted a decision you've made, you are either very lucky or very young.
Xander does not expect Anya to take him back. He begs her to take him back. He tries to explain how he feels, but Anya is so hurt, she can't hear him. This goes on for most of the rest of the series. It is a sad situation, but it is very real. And I wouldn't even describe it as being "immature", necessarily. Even older, mature people get into situations where they are trying not to make a mistake and so end up making a bigger one.
I know a lot of people blame Xander and hate that he walked away from the wedding. I, personally, really love that part of the story because it is an absolutely real tragedy. These are the types of things that happen in real life, to real people. And this story was brilliantly written and acted. I would not have had it any other way.