I live in Cleveland, and while heat isn't a particular problem here (insert hysterical laugh track here), we are intimately acquainted with humidity, and I know exactly what you mean. Humidity is the killer.
I used to think we were so humid because of Lake Erie. Actually our prevailing wind direction is from the southwest, and our real humidity comes from Gulf of Mexico air. In the warmer months, when the wind shifts to the north, coming across the lake, it gets cool and dry (Thank you Canada, more please). Of course in the winter months when the wind shifts to the north, we get 8 tons of lake effect snow, and freeze our a** off! (So much for "Thank you Canada).
