For heat - humidity makes your body's cool mechanism suck. In Arizona (low humidity), it's hot. You sweat, it evaporates, and you feel cooler. You do the same in say Thailand (humid), it's hot, you sweat, and it can't evaporate as much because of the humid air. Your body doesn't cool as well. It sweats more. You feel wet uncomfortable and hot.

I have hiked a mountain in Arizona in 105, and ended with a dry shirt/hair. It was hot, but not terrible. I've run 1 mile in 85 degrees and 90 percent humidity and sweat through my shirt and been muh "hotter" and more uncomfortable.