Air masses come from the area that they originate. Warm, humid, tropical air comes from a warm body of water like the Gulf of Mexico.
Warm, dry air comes from continental tropical air and is common across the desert southwest.
Maritime and continental air can be either tropical or polar in nature. Tropical air masses contain lots of moisture and are unstable. Polar air is usually more stable.
When an air mass moves it is indicated as a cold or warm front.
Ed illustrates this in this edition of Weather 101.