Some of the other answers for this question definitely highlight some key points on why some coastal areas are humid and some are not notoriously humid, but I did want to bring up a point not mentioned yet: ocean circulation. read more
And I did want to correct something: the regions next to cold currents aren’t necessarily “dry.” The humidity is less than areas with warm bodies of water of course. But, consider, for example, how cool coastal fog forms along California, Oregon and Washington coastlines. read more
When it's warm it's because the air is either coming up through Oregon from California or it's flowing over the Cascade mountains from Eastern Washington - and both of those are dry areas so the warm air coming in is dry. As others have mentioned, I think the key reason that the areas east of the Rockies are more humid than those west of the Rockies is the presence of the Gulf of Mexico - which is a very warm body of water. read more