"It's a dry heat" is a ubiquitous phrase in Phoenix every summer. Like most stereotypes, it's ever present because it's true.
To a point.
"It's a dry heat" works for me personally up to about 103 or 104. After that, it just feels hot no matter what, and my stock reply to "dry heat" is ususally, "Yeah, so's my oven."
On the other hand, late spring and early summer evenings are some of my favorite things. One truth about dry heat - at least in metro Phoenix - is that as soon as the sun sets the temperature drops quickly and noticeably.
Last night as I drove home from dinner with Dad on his Day, my car displayed 92 degrees at 9:00pm. I rolled down the car windows and popped the moonroof and it was one of the most pleasant drives I've had in quite a while.