Yup, latent heat of evaporation transfers heat away from the body but high humidity - the air is already saturated with about as much water vapour as it can hold - inhibits the evaporation and you just remain sweaty and uncomfortably hot.
Dry air aids evaporation and the sweat glands cool you the way they're meant to.
If the wind is blowing, that also aids evaporation but, if the air temperature is higher than body temperature then a moving column of it will actually transfer a net heat gain to the body.
I read a message thread one time where someone said that, in Singapore/SE Asia, urban folklore has it that you should not sit/sleep in front of a ventilation fan, because of the risk of heat stroke and backed this up with links to relevant news articles. But, in their case, air temps over 98.4F are commonplace. Here that would be a news event.
I could mention brown adipose tissue - which generates body heat (in addition to muscle activity). How much you have of it and its distribution around the body varies according to your ancestry. Generations spent near the equator mean you barely need it and genes tend to avoid wasting resources on things the body doesn't need (like cave dwelling creatures evolve to not have eyes).
Generations spent in northern Europe means we have more of it, bearing up in winter but suffering from the heat in summer.
80F indoors, here, at nighttime!