Daniel Hutmacher explains some of what you can do with the VALUES clause:
Note the commas at the end of each line, denoting that a new row begins here. Because this runs as a single statement, the INSERT runs as an atomic operation, meaning that all rows are inserted, or none at all (like if there’s a syntax issue or a constraint violation).
I use this construct all the time to generate scripts to import data from various external sources, like Excel, or even a result set in Management Studio or Azure Data Studio.
Daniel also has a new app for us to try out.