We study the stellar angular momentum of thousands of galaxies in the Illustris cosmological simulation, which captures gravitational and gas dynamics within galaxies, as well as feedback from stars and black holes. We find that the angular momentum of the simulated galaxies matches observations well, and in particular two distinct relations are found for late-type versus early-type galaxies. The relation for late-type galaxies corresponds to the value expected from full conservation of the specific angular momentum generated by cosmological tidal torques. The relation for early-type galaxies corresponds to retention of only ~30% of that, but we find that those early-type galaxies with low angular momentum at z=0 nevertheless reside at high redshift on the late-type relation. Some of them abruptly lose angular momentum during major mergers. To gain further insight, we explore the scaling relations in simulations where the galaxy formation physics is modified with respect to the fiducial model. We find that galactic winds with high mass-loading factors are essential for obtaining the high angular momentum relation typical for late-type galaxies, while AGN feedback largely operates in the opposite direction. Hence, feedback controls the stellar angular momentum of galaxies, and appears to be instrumental for establishing the Hubble sequence.