Convolutional neural networks (CNNs), especially fully convolutional networks, have been widely applied to automatic medical image segmentation problems, e.g., multi-organ segmentation. Existing CNN-based segmentation methods mainly focus on looking for increasingly powerful network architectures, but pay less attention to data sampling strategies for training networks more effectively. In this paper, we present a simple but effective sample selection method for training multi-organ segmentation networks. Sample selection exhibits an exploitation-exploration strategy, i.e., exploiting hard samples and exploring less frequently visited samples. Based on the fact that very hard samples might have annotation errors, we propose a new sample selection policy, named Relaxed Upper Confident Bound (RUCB). Compared with other sample selection policies, e.g., Upper Confident Bound (UCB), it exploits a range of hard samples rather than being stuck with a small set of very hard ones, which mitigates the influence of annotation errors during training. We apply this new sample selection policy to training a multi-organ segmentation network on a dataset containing 120 abdominal CT scans and show that it boosts segmentation performance significantly.