Which will be faster for Millions of records? Procedure or Insert statement with multiple values?
Stored Procedure is better, why? Read this: http://www.sqlbook.com/SQL-Server/Why-use-Stored-Procedures-41.aspx

When a query runs, it calculates the most efficient method of processing the query and stores it in something called the execution plan. Depending on the query, a good deal of the time taken to execute a query is actually spent on calculating the execution plan.

When inline SQL statements are executed the execution plan must be generated each time the query runs. When a stored procedure is called its execution plan is stored in memory and the next time the stored procedure is called the execution plan is retrieved from memory without needing to be recalculated. This increases the speed of execution and improves database performance.