Analyzing the relation between intelligence and neural activity is of the utmost importance in understanding the working principles of the human brain in health and disease. In existing literature, functional brain connectomes have been used successfully to predict cognitive measures such as intelligence quotient (IQ) scores in both healthy and disordered cohorts using machine learning models. However, existing methods resort to flattening the brain connectome (i.e., graph) through vectorization which overlooks its topological properties. To address this limitation and inspired from the emerging graph neural networks (GNNs), we design a novel regression GNN model (namely RegGNN) for predicting IQ scores from brain connectivity. On top of that, we introduce a novel, fully modular sample selection method to select the best samples to learn from for our target prediction task. However, since such deep learning architectures are computationally expensive to train, we further propose a learning-based sample selection method that learns how to choose the training samples with the highest expected predictive power on unseen samples. For this, we capitalize on the fact that connectomes (i.e., their adjacency matrices) lie in the symmetric positive definite (SPD) matrix cone. Our results on full-scale and verbal IQ prediction outperforms comparison methods in autism spectrum disorder cohorts and achieves a competitive performance for neurotypical subjects using 3-fold cross-validation. Furthermore, we show that our sample selection approach generalizes to other learning-based methods, which shows its usefulness beyond our GNN architecture.