I must be an outlier, as the humidity never bothered me. I would run 30+ miles on Saturday mornings when I was stationed in New Orleans at 90+ degrees and 90+ % humidity. I would gladly retire in Louisiana, but my wife would divorce me. Haha.
The only time the humidity got to me was when I was on 3 month security mission in the Philippine jungle. Trying to sleep in the jungle when it is 90 degrees and 100% humidity with bugs biting the shit out of you sucked. You couldn't cover yourself with anything.