Inserting multiple rows in a single SQL query?

I have multiple set of data to insert at once, say 4 rows. My table has three columns: Person, Id and Office.

INSERT INTO MyTable VALUES ("John", 123, "Lloyds Office");
INSERT INTO MyTable VALUES ("Jane", 124, "Lloyds Office");
INSERT INTO MyTable VALUES ("Billy", 125, "London Office");
INSERT INTO MyTable VALUES ("Miranda", 126, "Bristol Office");

Can I insert all 4 rows in a single SQL statement?

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');

If you are inserting into a single table, you can write your query like this (maybe only in MySQL):

INSERT INTO table1 (First, Last)
VALUES
	('Fred', 'Smith'),
	('John', 'Smith'),
	('Michael', 'Smith'),
	('Robert', 'Smith');

NOTE: This answer is for SQL Server 2005. For SQL Server 2008 and later, there are much better methods as seen in the other answers.

You can use INSERT with SELECT UNION ALL:

INSERT INTO MyTable  (FirstCol, SecondCol)
    SELECT  'First' ,1
    UNION ALL
SELECT  'Second' ,2
    UNION ALL
SELECT  'Third' ,3
...

Only for small datasets though, which should be fine for your 4 records.

INSERT statements that use VALUES syntax can insert multiple rows. To do this, include multiple lists of column values, each enclosed within parentheses and separated by commas.

Example:

INSERT INTO tbl_name (a,b,c) VALUES(1,2,3),(4,5,6),(7,8,9);