How to insert values into an identity column in SQL Server

USE Northwind
GO

IF OBJECT_ID('IdentityTable') IS NOT NULL
DROP TABLE IdentityTable
GO

CREATE TABLE IdentityTable (
TheIdentity INT NOT NULL IDENTITY(1,1) PRIMARY KEY,
TheValue NVARCHAR(20) NOT NULL )
GO

INSERT IdentityTable(TheIdentity, TheValue)
VALUES (1, 'First Row')
GO

Server: Msg 544, Level 16, State 1, Line 1
Cannot insert explicit value for identity column in table 'IdentityTable' when IDENTITY_INSERT is set to OFF.

SET IDENTITY_INSERT IdentityTable ON

INSERT IdentityTable(TheIdentity, TheValue)
VALUES (3, 'First Row')

SET IDENTITY_INSERT IdentityTable OFF

SET IDENTITY_INSERT IdentityTable ON

INSERT IdentityTable(TheIdentity, TheValue)
VALUES (10, 'Row Ten')

SET IDENTITY_INSERT IdentityTable OFF

INSERT IdentityTable(TheValue)
VALUES ('Should be 11')

SELECT * FROM IdentityTable
GO

Result
---------------------
1 First Row
10 Row Ten
11 Should be 11