A theoretical study of delayed feedback in spin-torque nano-oscillators is presented. A macrospin geometry is considered, where self-sustained oscillations are made possible by spin transfer torques associated with spin currents flowing perpendicular to the film plane. By tuning the delay and amplification of the self-injected signal, we identify dynamical regimes in this system such as chaos, switching between precession modes with complex transients, and oscillator death. Such delayed feedback schemes open up a new field of exploration for such oscillators, where the complex transient states might find important applications in information processing.