If you live in a dry climate like the Southwest US, then the evaporative methods mentioned (wet filter in window) may be effective to some extent. One very direct version of this is to wear a wet shirt. You will probably find that cotton is uncomfortable wet, so polyester will be better. Look for the polyester athletic shirts used for working out or sports, etc. They have to be rewetted frequently and a spray bottle is a good method.

In humid climates like the Southeast US, the evaporative methods may help but are less effective. The cheap air conditioner idea will be the best chance for relief from humidity.