High humidity, temperature, or altitude makes air less dense. Low humidity, temperature, or altitude results in denser air.
To illustrate how air density can effect us there is an interesting story concerning air density which occurred here some years ago. A small twin engine aircraft left Las Vegas at 2200' and a temperature of 82F and landed here at seal level at a temperature of -45C. Upon landing the tires on both sides of the plane went flat and there he was, stuck on the runway. His tires were nice and hard in the warm air, but the air in his tires became denser in the cold air at sea level, therefore took up less space, resulting in flats. For those knowledgeable about aircraft, it is not clear if the tires were originally inflated with nitrogen, but I doubt that they were.
A supersonic bullet passing through rain may-not be effected by the water drops it passes through due to it's shock wave, but when shooting in the rain our ammunition get wets, and wet ammo results in a different point of impact than dry ammunition. Water is not compressible, so it follows that a wet cartridge will result in higher pressure than a dry cartridge because the wet cartridge takes up more space in the chamber.