When it's 110˚+ for 40-50 days straight like it was on many occasions in Vegas, it's more like a dry heave. People literally start to lose their minds. If it topped out around 100, it would've been tolerable. 100 in Vegas beats 85 here on the east coast any day. Central CT is exceptionally sticky with all the rivers & lakes. If I stay here long term, I plan on moving very close to the shore where the humidity is less oppressive.
@80s Kid has the right idea...I used to treat summers like winter as well, but it's hard when I was working in my shop without A/C which I did on too many occasions. Even at midnight the temps would still be above 100. f*** that noise, I don't miss that at all.
I'll be visiting NE Florida in August so I'll get to compare that with Phoenix soon.
I'm not sure how feasible it is to find relief around Vegas but in Arizona, there are options. There's basically a giant cliff that cuts through the middle of the state called the Mogollon Rim. I can drive about an hour north and go from around 1,000' to over 5,000' (Payson). Not too much farther and you're over 7,000' (Flagstaff) where it’s much cooler.
I was previously near Philadelphia for over 15 years and Long Island before that. I'm sorry but the winters are just too long for my liking. That and it rained too much around Philly. While this was not normal, we had around 70" of rain in either 2017 or 2018 and I remember not seeing any dry ground that year except when it was frozen.
Now Phoenix is at the opposite side of the spectrum and I wish it rained a bit more in the summer but I believe the sunshine is good for your overall health and well-being as long as you don't overdo it.
It's all preference and everywhere has tradeoffs. I will say that the dry air definitely makes higher temps more comfortable but once you start going above 105F, it starts to feel like an oven.
My thermometer has been over 120F (in the shade) on a handful of days each summer since I moved here but as Boris Zubov pointed out, the nighttime temps are still hotter than many days back in the northeast. Lows of 90F+ are not abnormal and lows in the 80s are normal but it's only for a couple hours until you're back into triple digits.
It's different, for sure, but if you're willing to hunker down from June-August, the rest of the year is very nice. September is still hot but days are shorter and May is pretty toasty but still cools off enough at night for relief.
TLDR - Phoenix is incredibly hot in the summer but relief is available in higher elevations not far away and the weather is beautiful the rest of the year. Sunlight is a good thing.