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The ocean currents flow north from the equator in the east, resulting in warmer water, more cloud formation, higher rainfall, and greater moisture content of the air. In the west, the ocean current flows south from Alaska, resulting in colder water, less evaporation and cloud formation, lower rainfall, and less moisture content of the air. Same is true in south America. The east coast (Brazil, Argentina) is very humid while the west coast (Chile, Peru) is very dry.
I studied meteorology when I started college in Oklahoma, and I grew up in the Denver area, on the great plains in NE Colorado (the Rocky Mtns are to the W).
This issue is part season, part surface wind / upper air-flow direction, part elevation, and part moisture source. So Miamiman & LordBalfor are totally right; the others are also seeing a piece of the puzzle. In Denver and the semi-arid parts of the great plains (the high plains w/ short grasses, about 300+/- miles east of the eastern edge of the Rocky Mtns, running parallel to the mtns), the moisture source is the Gulf of Mexico, but that moisture has to come in on the back side of a low pressure cell the colder the time of year, since upper air westerly winds keep it out then.
The rain shadow effect generally happens only in the winter, when Pacific storms dump snow on the ski areas to the west in the mtns, and the westerly winds at the surface and high up are in high gear. Only a stagnant low pressure to the southeast can bring in moisture (mixed with cold, Canadian air), but it can dump when that happens! I shovelled 36" of snow resulting from that in Dec 1982, plus Dec 2006 and other rare times that happens. (those infrequent storms are when the national news tells everyone in the US how snowy they are---Denverites should thank them for fueling those perceptions in the American "sheeple", or their population would be 5 or 6 million!)
In spring, the jet stream moves northward, allowing some gulf moisture in before cold air, so they can get t-storms, some rather severe, though again, the back sides of storms can pull in colder, drier air in from those Rockies to the west, which effectively moderates tornado intensity (but not hail!). Sometimes in fall that is the case, though fall is drier. And summer on the high plains in Denver sees plenty of afternoon storms, though that is Gulf moisture coming in from the east more than the southwestern monsoon we get here in NM...it backs up against the mountains, the 85-92F daily temps drive that moisture up into t-storms, which move out over the plains to the E or NE. Those humid periods on the high plains are short, but regular, dominated by dry air.
Elevation is another factor that helps the high plains, too...under the same airmass (like high pressure) the dewpoint temperature (the real humidity, not relative humidity) drops about 2-3F / 1000 feet elevation gain...so a SE wind in Denver coming over Oklahoma and Kansas means a 60F dewpoint in 5280 ft Denver, a 65F dewpoint in 3500 ft Lamar CO, and a 70F dewpoint in 1200 ft Wichita or Okla City. This is all physics, about vapor pressure, air pressure, etc. Hence why people from the east laugh when Denverites and westerners complain about when it is humid...the higher elevation does not allow air to be as moist as in lower elevations.
Higher elevations also will "feel" less intense as far as extremes of heat or cold than even the same temperature and humidity as lower elevation locales...less air pressure.
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Now, east of the high plains one gets into the true prairies (tall grasses & even some woodlands, high humidity in the warm season), the humid Gulf air flows far less interrupted in the warmer times of the year, at least regularly between cold fronts, hence more vegetation, precipitation...and humidity, cloud cover. On I-80, one can see that change into a more humid ecology near North Platte NE; on I-70, about Hays KS; on I-40, about Shamrock TX or just inside Okla; on I-10 about Sonora TX, etc, etc. Those humid periods on the prairies are longer, are regulary interrupted by cooler and/or drier air during all but summer, but humid air dominates.
Living in Oklahoma for 4 years, the vast majority of people there are extremely genuine and friendly, but they can have their climate. I would take the clearer, refreshingly dry atmosphere of Denver (or anywhere on the high plains for that matter, from Lubbock to Calgary) any day for the climate over the more humid prairies E of that dreaded 100 longitude line. Even if we need to conserve water in the semi-arid & arid west.
But, to avoid late snowstorms, extreme arctic cold as well, I like the Desert SW even better!
But to each is own...not only am I glad many people prefer the humid, greener east (coastal traffic...no way!), but I hope a few good droughts scare the desert-phobes in the southwest into moving there (we miss our open roads and they waste too much valuable water trying to turn us into the east!).
Humidity is a direct product of proximity to warm seas.
warm sea = humidity = good climate
I live on the COLD Atlantic. In fact, my beach is one of the coldest spots on the northern east coast! We can get VERY humid here. So even though your ARE correct about the warm water, that doesn't mean there is NO humidity where the water is cold. We just do not have it year 'round or as bad as down south and at the Gulf.
A side note....the Pacific is cold? I have always imagined it would be warm. At least warmer than the Atlantic! A bubble has been burst!
Humid, eh? Try a Dewpoint of 74F this afternoon in central NH! This was by far the most humid air of the season with the high temperature being a warm 80F. Now the rain has moved in with over 2" and a temperature of 65F.
I live on the COLD Atlantic. In fact, my beach is one of the coldest spots on the northern east coast! We can get VERY humid here. So even though your ARE correct about the warm water, that doesn't mean there is NO humidity where the water is cold. We just do not have it year 'round or as bad as down south and at the Gulf.
A side note....the Pacific is cold? I have always imagined it would be warm. At least warmer than the Atlantic! A bubble has been burst!
Oh yeahhhhhh.
The Pacific Coastal water is MUCH colder than the Atlantic Coastal waters. For example, summer coastal waters off Boston are about the same as those found off Los Angeles (upper 60's to 70 or so) - while summer coastal waters off Washington barely make the mid-50's
This is a VERY informative site when considering a beach vacation anywhere in the US. Note how warm the summer water temps off the gulf coast states when compared even to Hawaii (which is further south but has colder water none-the-less):
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We can get VERY humid here. So even though your ARE correct about the warm water, that doesn't mean there is NO humidity where the water is cold. We just do not have it year 'round or as bad as down south and at the Gulf. 
