We present an experimental demonstration of the power of feedback in quantum metrology, confirming the predicted [H. M. Wiseman, Phys. Rev. Lett. 75, 4587 (1995)]] superior performance of an adaptive homodyne technique for single-shot measurement of optical phase. For measurements performed on weak coherent states with no prior knowledge of the signal phase, adaptive homodyne estimation approaches closer to the intrinsic quantum uncertainty than any previous technique. Our results underscore the importance of real-time feedback for reaching quantum limits in measurement and control.