Pass multiple values to stored procedure in one parameter in SQL Server

Hello to everyone. I have a problem with passing parameter to stored procedure. I want to pass string (for example: "'1','2','3','4'" - delimiter can be also # or other symbol..) and use it in stored procedure in IN clause. How is that even possible with easy solution? I found one with xml (it works) but seriously there are no easier way than that?

Why SQL does not allow to pass with that string and than using it in IN clause of statement?