In SQL Server 2008 you can insert multiple rows using a single SQL 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');