Micromechanical resonators, when cooled down to near their ground state, can be used to explore quantum effects such as superposition and entanglement at a macroscopic scale. Previously, it has been proposed to use electronic feedback to cool a high frequency (10 MHz) resonator to near its ground state. In other work, a low frequency resonator was cooled from room temperature to 18 K by passive optical feedback. Additionally, active optical feedback of atomic force microscope cantilevers has been used to modify their response characteristics, and cooling to approximately 2 K has been measured. Here we demonstrate active optical feedback cooling to 135 +/- 15 mK of a micromechanical resonator integrated with a high-quality optical resonator. Additionally, we show that the scheme should be applicable at cryogenic base temperatures, allowing cooling to near the ground state that is required for quantum experiments--near 100 nK for a kHz oscillator.