Floridian here, yesterday I got home from a week long vacation to a dry place and I changed clothes and they literally felt wet. It was gross. Also it IS the humidity as you can't sweat as easily if the sweat doesn't evaporate
As a midwesterner, I will die on both hills, that it's the wind that gets ya in the cold and that the humidity is what gets ya in the hot
And scientifically/biologically both are true, because the wind takes the warm air from above your skin immediately and the humidity prevents you from sweating
To be fair, I live in a high humidity area and visiting a ‘dry heat’ area was amazing. Being in the shade actually felt refreshing instead of oppressive and stuffy.