The heat index is also known as the apparent temperature. It measures what the temperature feels like to the body when relative humidity is combined with the air temperature.
This has important considerations for cooling. When the body gets too hot, it begins to perspire or sweat to cool itself off. If the perspiration is not able to evaporate, the body cannot regulate its temperature.
Evaporation is a cooling process. When perspiration is evaporated off the body, it effectively reduces the body's temperature. When the atmospheric moisture content (i.e. relative humidity) is high, the rate of evaporation from the body decreases.
The body actually feels cooler in arid conditions. There is direct relationship between the air temperature and relative humidity and the heat index, meaning as the air temperature and relative humidity increase (decrease), the heat index increases (decreases).
The phrase, "It's a dry heat" comes from this.
Around here we usually have very high humidity when we get high heat. It is that much harder to cool off.