I live in Washington, and moved here at the end of last year from Illinois, so I consider myself informed!
Lake Michigan is massive, and very cold considering. The whole "being close to water makes it colder" dealie being the reason the climate is different in Indiana than Oregon... well, simply doesn't hold water. As for the moisture in the atomosphere, however, that certainly makes a difference. Lake Michigan may be big, but it's not so big that the lake effect makes a good chunk of land to the east of it cloudy all the time like the Pacific Ocean does to the northwest.
There's also the fact that the jet stream, which pretty much enters the continent right between Washington and British Columbia, comes back down right through the top of Illinois, then under most of Indiana before heading back north. This brings with it the colder, dryer air from Canada, which in the summer is generally offset by high inland temperatures that sap all the moisture off the ground and make it humid all the time without raining. It's not uncommon to have humidity near 100% for most of a day, get some heavy rain, then have the process happen all over again when the rain evaporates.
All things considered, I'll gladly stay here in Washington. The clouds took a break last week, but they're back and all is well.