Of course dry heat is awful too. There's no denying that.

Personally, I found the dry, searing July heat of 50+ degrees in the Middle East more tolerable than the intensely humid mid-30s of September / October in the ME and mid-summer in Northern Europe.

And what makes the latter even worse, as someone else pointed out above, is the fact that none of infrastucture in Northern Europe is designed for it--on the contrary, everything's design to retain heat. So, the buildings insulate heat and no one has aircons. Which, obviously, is the opposite in the Middle East--and presumably in arid and / or tropical US states too.

A Canadian friend once stated that the cold here (it doesn't often go below -5 degrees) feels a lot more intense than the cold in Canada (-30s is normal) because it's a lot more humid here than in Canada.

It's the same with heat too.