Do Have To Run Multiple Inserts?

Another common method I've seen is like this:

Declare @People Table(
EmployeeId  Int Identity (1, 1),
FirstName   VarChar (100),
LastName    VarChar (100))

INSERT @People (FirstName, LastName)
SELECT 'John', 'Doe'
UNION ALL SELECT 'James', 'Doe'
UNION ALL SELECT 'Jill', 'Doe'
UNION ALL SELECT 'Bo', 'Bo'

SELECT * FROM @People

INSERT - VALUES

Depending on your version of SQL Server, you may not have to use multiple SQL Statements. In SQL Server 2008, you can use multiple comma-separated values for INSERT statements.

Here is a working example

Declare @People Table
(
    EmployeeId	Int Identity (1, 1),
    FirstName	VarChar (100),
    LastName	VarChar (100)
)

INSERT @People 
Values 
('John', 'Doe'),
('James', 'Doe'),
('Jill', 'Doe'),
('Bo', 'Bo')

SELECT * FROM @People

Importing through Bulk Import

You can use text/CSV/Native format files and Bulk Import to fill data into your tables.

Another mechanism is to pass a comma-delimited list and pivot it into a table, preferably through the use of queries, but possibly through user defined functions.

A common method of doing this is to pass an XML document to a stored procedure and use OPENXML or XQUERY to shred the XML document and perform the insert in a single statement.