Hot, cold, dry, damp?

I really don't understand this humidity lark. Some morning, walking the dogs here in Sydney at 7.30 a.m., the air seems to heavy and damp (however bright the sun an blue the sky) that the dogs want to lie down in the middle of their walk; when I get back, I find the humidity measure very high. This morning however the walk was delightful, the air seemed light and cool - yet when I got back and checked the humidity it measured 95%.    What, I ask, is going on?