Concentration inequalities quantify the deviation of a random variable from a fixed value. In spite of numerous applications, such as opinion surveys or ecological counting procedures, few concentration results are known for the setting of sampling without replacement from a finite population. Until now, the best general concentration inequality has been a Hoeffding inequality due to Serfling [ Ann. Statist. 2 (1974) 39–48]. In this paper, we first improve on the fundamental result of Serfling [ Ann. Statist. 2 (1974) 39–48], and further extend it to obtain a Bernstein concentration bound for sampling without replacement. We then derive an empirical version of our bound that does not require the variance to be known to the user.