What's the relationship between dry air and overclocking?
 

Drier air in your room is better than high humidity at the same temperature when you OC.

For example:

Humidity 50%; air temp 26C provides lower CPU temp than 80% humidity with 26C air temp.

Laws of phisics...

Because drier air is "thinner" it can absorb more (heat) ...

Yes, but only part of it; the second part is humidity or moisture covers the parts (heatsink in this case) and becomes a thin layer of "insulation". Drier air at the same temp and identical setup yields lower temp.

but when it's get to humid you get watercooling. I think we have a mysterie here :D