As far as heat tolerance goes, I base my observations on having lived much of my life in humid (sub)tropical locales. Many people who suffer simply do not drink enough fluids. If your urine is anything but light yellow, your body has been economical with perspiration and consequently the core temperature will have been very slightly raised leading to discomfort. This behaviour can change! (BTW horses sweat, men perspire and women just glow gently - courtesy of Victorian political correctness) Also "comfort" is a perception. Many persons who complain of gross heat discomfort are actually uncomfortable because they are not used to having perspiration on their face (primarily) and their bodies. This perception can change! Human basic metabolic rate (how much heat a body at rest produces) can vary fairly considerably between individuals (and with time, diet, exercise, drugs etc). This can be "trained." Some big fat (it does sound better than obese) people due to surface to volume ratio constraints will have lower physical limitations. Also people do have different numbers of sweat glands but the maximum productivity of these can be "trained."

Concerning breathholding capabilities: bodies and more importantly brains require oxygen which combines with carbon and hydrogen to produce energy and water and carbon dioxide (CO2). Paradoxically one's "urge to breathe" is controlled primarily but high levels of CO2 and not (to any significant degree) by low levels of oxygen. Nearly all people (fortunately) have an uncontrollable desire to breathe well before their low oxygen levels cause unconsciousness etc. This perception of an uncontrollable urge to breathe can be "trained" (even to the point where people black out.) Other "trainable" factors will include increase in red blood cell count, total blood volume, lowering of BMR by relaxation techniques, mammalian dive reflex etc. http://en.wikipedia.org/wiki/Mammalian_diving_reflex