Argh! My big long reply was eaten by the Internet.
So, I'll try to summarize my answers to all of you:
Biggestloser105 -- I need to lower my calorie intake, you're right in that regard. More on this below. Exercising more, however, won't make much of a difference, according to my doctor.
Summer123 -- thank you for your suggestions.
RichPT -- My classes show progression. I work out at a studio, not your typical gym. They specialize in those two areas (spinning and pilates) and the teachers show progression (precisely because they know that our bodies get used to it!). I am going to use the treadmill however. I think I need to stop the spinning unless it's for fun.
Derrick -- My boyfriend also thinks I should do weights. I have avoided them because I was using my pilates as my strengthening exercise.
My Doctor's Visit
So, I think it was a great visit. To summarize what we talked about, he thinks that I am eating too many calories.
He also told me that the exercise calories that I burn don't count towards my deficit. If a woman my age/height/weight is 1900, then I need to subtract my weight from THAT, not count any calorie burning otherwise.
He also said that spinning was not the right exercise for me. Because of the intensity of the workout, it keeps my heart rate too high and my body ends up using the glycogen in my muscles, rather than using fat as fuel.
He recommended I start walking/running (there's the treadmill, RichPT!).
He also said that if I -- or any woman with PCOS -- doesn't lose weight running 2 hours a day, then he'll consider there's something seriously wrong with our bodies. But fundamentally, it just means we have to work harder.
He recommended 45 - 60 minutes a day of walking/running or similar sport that doesn't raise my heart rate too much above 140.
So, my new plan:
1400-1600 initially to get used to lower calories (may mean changing my food, of course!)
Spinning for fun (I cycle outdoors too and I was working towards longer rides so I could a MS Ride next year)
Walking as my cardio (or running, if I were to do that to myself)
I will probably end up having to do weights anyway, but I won't do it now, because this is already a lot of change for me and I work better when I focus on one thing.
It kind of makes me sad that my previous plan wasn't working and was causing me to gain weight. It makes me wonder if I will ever find something that keeps me at a healthy weight AND feels normal (no deprivation).