Phoenix? I know it's blazing hot (I lived there one summer), but it's much drier than the other cities mentioned.
Put it this way, when you walk out of your house in the morning (6:00 AM) and you are in a FULL sweat within 30 seconds, you know it sucks...there's just no two ways about it.
I have also been to Denver in the summer. It was very dry, but it was pretty dang hot too. Even that, though, it just wasn't as miserable. When you did sweat, it evaporated; it didn't stick to you like it does in the South here.