We introduce vibrational heat-bath configuration interaction (VHCI) as an accurate and efficient method for calculating vibrational eigenstates of anharmonic systems. Inspired by its origin in electronic structure theory, VHCI is a selected CI approach that uses a simple criterion to identify important basis states with a pre-sorted list of anharmonic force constants. Screened second-order perturbation theory and simple extrapolation techniques provide significant improvements to variational energy estimates. We benchmark VHCI on four molecules with 12 to 48 degrees of freedom and use anharmonic potential energy surfaces truncated at fourth and sixth order. For all molecules studied, VHCI produces vibrational spectra of tens or hundreds of states with sub-wavenumber accuracy at low computational cost.