mask = np.ones(len(data), np.bool)
mask[sample_indexes] = 0
other_data = data[mask]
not the most elegant for what perhaps should be a single-line statement, but its fairly efficient, and the memory overhead is minimal too.
If memory is your prime concern, np.delete would avoid the creation of the mask, and fancy-indexing creates a copy anyway.
On second thought; np.delete does not modify the existing array, so its pretty much exactly the single line statement you are looking for.