When using a Table Value Constructor (http://msdn.microsoft.com/en-us/library/dd776382(v=sql.100).aspx) to insert multiple rows, is the order of any identity column populate
Piggybacking on my comment above, and knowing that the behavior of an insert / select+order by will guarantee generation of identity order (#4: from this blog)
You can use the table value constructor in the following fashion to accomplish your goal (not sure if this satisfies your other constraints) assuming you wanted your identity generation to be based on category id.
insert into thetable(CategoryId, CategoryName)
select *
from
(values
(101, 'Bikes'),
(103, 'Clothes'),
(102, 'Accessories')
) AS Category(CategoryID, CategoryName)
order by CategoryId