Amazon Redshift
Database Developer Guide (API Version 2012-12-01)

Use a Multi-Row Insert

If a COPY command is not an option and you require SQL inserts, use a multi-row insert whenever possible. Data compression is inefficient when you add data only one row or a few rows at a time.

Multi-row inserts improve performance by batching up a series of inserts. The following example inserts three rows into a four-column table using a single INSERT statement. This is still a small insert, shown simply to illustrate the syntax of a multi-row insert.

insert into category_stage values (default, default, default, default), (20, default, 'Country', default), (21, 'Concerts', 'Rock', default);

See INSERT for more details and examples.