It's the same reason that where I'm from, people hate the humidity more than the heat. A dry heat is more bearable - you can sweat, you heat up more slowly, etc. Humid air is thicker, which means it transfers heat more effectively. This goes both ways, of course, and is why being cold AND wet is so dangerous - your body gets cooled down far faster.
It's less about the air being "thicker" and more about it having water in it. Water transfers temperature well.
Also, condensation leads to an increase in temperature (equivalent to the opposite of the loss in temperature due to evaporation), and evaporation (of e.g. sweat) is less likely/rapid when the air is more humid.
The basic principle - dense materials transfer heat more quickly - is the same. Magma should kill you in mere seconds. As someone else pointed earlier in this thread, it sets stuff on fire just from radiant heat alone.
Yep. You're wrong about that applying to air humidity, though. Humid air is actually less dense on average
. I can't say the full list of reasons why humid air is less comfortable in heat, but less efficient sweating is a major one.
At any rate, I think the reasons for magma being less deadly than it should be (try pouring the stuff on creatures in arena mode; it's less harmful than boiling water is in reality, which says something) are pretty well-documented at this point. Fat is weird as hell, other tissues also have poor heat/cold damage thresholds and possibly odd phase change temperature, we still don't know how good or reliable DF is about transferring heat between body layers and the surrounding environment (or how well body layers insulate), and the game obviously doesn't represent the effects of extreme heat and cold very well on body systems (especially the brain), especially those effects that aren't related to simple tissue damage.