So... Starting with the obscure administrivia... Heating one gram of water one degree expends one calorie of energy. (Yes, those kind of calories.) Not too hard, right?
Making water change phase (solid to liquid or liquid to gas) expends a *lot* more energy -- 540 calories per gram for vaporization, specifically.
The super-dry (read: really, really non-saturated) Arizona air induces the water to start the evaporation process -- kinda like a dry sponge sucking up water.
In order to break away from the neighboring water molecules and "go gaseous" the evaporating water pulls quite a bit of heat from its surroundings. (...warm air, the pool deck, the sun's rays, etc.) If the water happens to be on your body, then it will pull heat from your body in order to evaporate, making you (and the air around you) feel cold.
A breeze accelerates this evaporation process by continuously providing you with new, dry, warm air -- kinda like that mysterious revolving cloth towel in dodgy gas station bathrooms. Combine shade (read: no direct energy contribution from the sun's rays) and a little breeze and as my daughters learned at their summer swim meets, the evaporating water can pull a LOT of heat from your skin and make you very cold -- even during the heat of the day.This same mechanism is what your body is trying to use when you sweat. When your body gets hot, it will leak a little bit of water out through your pores in the hopes that it will evaporate and cool your skin. In the spots where your skin is more exposed, this works pretty well. In spots that are less exposed to the air (armpits, etc.) the water tends to accumulate a bit. :-)
Goose bumps are your body's attempt to minimize the breeze effect. Your hair follicles tighten up and stand all of your little hairs on end in an attempt to capture a layer of stationary air next to your skin. (Same principle as a wet suit, for you surfers out there.) When you see wintry animals fluffing up their fur or feathers, they're doing the same thing.
This tendency for water to pull energy from its surroundings when evaporating is also the reason why swamp coolers work well in the desert (and why they are much less efficient in humid places where the pre-saturated air is less actively encouraging more evaporation.)
...and so when you're in one of those humid places like Florida or Louisiana or central Illinois (where I grew up), the air can be almost completely saturated with water already (read: 90+% humidity) that your sweat just doesn't evaporate very much. There, you get out of the 90 degree water in the 100 degree air and the water sitting on your 98.6 degree body just warms up a bit (without evaporating.)
...and that's also why we had to immediately throw our wet bathtowels in the dryer at my grandparents' house in Eastern Tennessee. If you just hang them up, they water in them doesn't just evaporate (and the towels mildew before the next morning. Eeew.)
...and you just get wetter and wetter until you finally wise up and move to Arizona. ;-)
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