Insert multiple rows into single column

I’m new to SQL, (using SQL 2008 R2) and I am having trouble inserting multiple rows into a single column.

I have a table named Data and this is what I am trying

INSERT INTO Data ( Col1 ) VALUES
('Hello', 'World')

That code was taken from this question, but it, like many other examples I have found on the web uses 2 columns, I just want to use 1. What am I doing wrong?

Thanks

Answer

Another way to do this is with union:

INSERT INTO Data ( Col1 ) 
select 'hello'
union 
select 'world'