OK, so you probably know now that these control characters comes from old electric typewriters / teletypes.
Line feed makes the roll to turn of one line height. Carriage return makes the printing head to go back to the start of the line (in typewriter, that's the carriage of the roll that returns there).
I don't know what existed before, but when Unix was created, authors chose to store only one character to make the end of a line (EOL). It was at a time where memory and disk space were costly, so saving one byte per line was a big deal.
Then came CP/M, ancestor of MS-Dos, ancestor of Windows.
For some reason, they kept the old CR+LF sequence. Why not.
Note that Internet protocols, like HTTP, Mime, etc. uses the same convention.
To confuse things even more, old Macs (before Unix-like OSX) used only CR to make EOL.
An editor like SciTE still supports the three conventions and allows to convert between them.
