In SQL Server 2008 you can insert multiple rows using a single INSERT statement.
INSERT INTO MyTable ( Column1, Column2 ) VALUES
( Value1, Value2 ), ( Value1, Value2 )
For reference to this have a look at MOC Course 2778A - Writing SQL Queries in SQL Server 2008.
For example:
INSERT INTO MyTable
  ( Column1, Column2, Column3 )
VALUES
  ('John', 123, 'Lloyds Office'), 
  ('Jane', 124, 'Lloyds Office'), 
  ('Billy', 125, 'London Office'),
  ('Miranda', 126, 'Bristol Office');
This syntax is, however, limited to a maximum of 1,000 rows. If you need to INSERT more than 1,000 rows, this can be worked around using a derived table in a SELECT instead, which doesn't have the same limitation:
INSERT INTO MyTable ( Column1, Column2, Column3 )
SELECT V.Column1,
       V.Column2,
       V.Column3
FROM (VALUES('John', 123, 'Lloyds Office'), 
            ('Jane', 124, 'Lloyds Office'), 
            ('Billy', 125, 'London Office'),
            ...
            ('Sally', 10026, 'Bristol Office'))V(Column1, Column2, Column3);