The problem with heat index is that several assumptions are made in its calculation. The result is supposed to be an equivalent temperature to "how it feels".
How temperature feels differs widely from person to person. To me, 50-60 degrees is wonderful and 70 degrees is a hot room. Other people are shivering at 70 degrees.
So when the heat index states 110, it means that that will feel like 110 degrees to someone, perhaps not you.
Another problem is that perception of temperatures is not linear. As the temperature increases past say 110, it becomes simply frickin hot. Few people can really tell the difference between 110 and 120, it is just frickin hot.
Like August posted, heat index only factors in temperature and relative humidity. Pretty much everything else happening weather-wise will affect the heat index rating. The tricky part is that Relative humidity, itself, is dependent not only on air pressure but on temperature.
So heat index is based on temperature and relative humidity which is in partly dependent on temperature. Hmmm
Stick with dry bulb temperatures.
As my father tells me "It never used to get so hot until they invented heat index."