The best way to get a feeling for the conservation of angular momentum is to do some simple activities on a spinning stool. Before you begin, remember that angular momentum, H, is the product of moment of inertia, I, and angular velocity:
Try to find a stool which spins really well and not much friction to slow it down. Also, find some weights to hold in your hands.
Now, sit on the stool and start yourself spinning. While spinning you now have a certain amount of angular momentum which you got from the push you used to start spinning. As you spin, raise your arms out to the side, and then lower them back down. What did you notice happening to your rotational velocity?
When you raised your arms, you should have slowed down, and then as you lowered them you should have sped up. The logic behind this phenomena is that if the stool has no friction, you will keep spinning forever -- once you start spinning there is no external force acting to stop you. Theoretically, the only way you would stop would be to apply a force against the ground or a wall with your feet or hands. So, while you are sitting their spinning on the stool, your angular momentum is conserved. This means that if you increase your moment of inertia by raising your arms, your angular velocity must decrease in the opposite direction to keep the angular momentum constant.
The following illustration demonstrates this concept with a figure skater spinning on the ice. As with your stool, there is very little friction on the ice, so a skater can keep spinning for a very long time. Technically, angular momentum is not conserved in this situation since their is some friction acting. However, it is a close simulation to provide an excellent example of the conservation of angular momentum.