I have been working with T-SQL in MS SQL for some time now and somehow whenever I have to insert data into a table I tend to use syntax:
INSERT INTO myTable
I started wtiting SQL on ORACLE, so when I see code without INTO it just looks 'broken' and confusing.
Yes, it is just my opinion, and I'm not saying you should always use INTO. But it you don't you should be aware that many other people will probably think the same thing, especially if they haven't started scripting with newer implementations.
With SQL I think it's also very important to realise that you ARE adding a ROW to a TABLE, and not working with objects. I think it would be unhelpful to a new developer to think of SQL table rows/entries as objects. Again, just me opinion.
It may be optional in mySQL, but it is mandatory in some other DBMSs, for example Oracle. So SQL will be more potentially portable with the INTO keyword, for what it's worth.
One lesson I leaned about this issue is that you should always keep it consistent! If you use INSERT INTO, don't use INSERT as well. If you don't do it, some programmers may ask the same question again.
Here is my another related example case: I had a chance to update a very very long stored procedure in MS SQL 2005. The problem is that too many data were inserted to a result table. I had to find out where the data came from. I tried to find out where new records were added. At the beginning section of SP, I saw several INSERT INTOs. Then I tried to find "INSERT INTO" and updated them, but I missed one place where only "INSERT" was used. That one actually inserted 4k+ rows of empty data in some columns! Of course, I should just search for INSERT. However, that happened to me. I blame the previous programmer IDIOT:):)