|I believe that the #01-02-2003# version is a Microsoft extension that assumes that the date uses MM-DD-YYYY format (i.e. US date format). The other format uses the default country-specific format for the computer.
In England, I commonly see PCs that are configured with control-panel defaults of "MM-DD-YYYY" or "DD-MM-YYYY" - so if you are using MS-Access and are hard-coding dates then the hash-version is probably the safer way to go. With SQL-Server, I always use the ISO "YYYY-MM-DD" format.
If you are executing the insert statement using an ADO command then I normally add parameters to the command-object because that handles casting from the original data-type, and it prevents SQL-injection attacks.