If I were you I would not use either of them.
The disadvantage of the first one is that the parameter names might collide if there are same values in the list.
The disadvantage of the second one is that you are creating command and parameters for each entity.
The best way is to have the command text and parameters constructed once (use Parameters.Add to add the parameters) change their values in the loop and execute the command. That way the statement will be prepared only once. You should also open the connection before you start the loop and close it after it.