Your syntax almost works in SQL Server 2008 (but not in SQL Server 20051):
CREATE TABLE MyTable (id int, name char(10));
INSERT INTO MyTable (id, name) VALUES (1, 'Bob'), (2, 'Peter'), (3, 'Joe');
SELECT * FROM MyTable;
id | name
---+---------
1 | Bob
2 | Peter
3 | Joe
1 When the question was answered, it was not made evident that the question was referring to SQL Server 2005. I am leaving this answer here, since I believe it is still relevant.