If you already have your value as a string, and since you are writing your SQL manually, you can CONVERTdo it like this:
strSql.Append("INSERT INTO tableName ")
strSql.Append("(GUID, ParentObsSetGUID, ChildObsSetGUID, ChildObsItemGUID) ")
strSql.Append(String.Format("VALUES (CONVERT(uniqueidentifier, '{0}'), CONVERT(uniqueidentifier, '{1}'), CONVERT(uniqueidentifier, '{2}'), CONVERT(uniqueidentifier, '{3}'))", parmList.ToArray))
EDIT: , Guid, :
parmList.Add(Guid.NewGuid().ToString())
parmList.Add(String.Empty)
NULL GUID, :
parmList.Add(dtNewGUID.Rows(0).Item(0).ToString)
parmList.Add(dtResultParentGUID.Rows(0).Item(0).ToString)
parmList.Add(dtResultChildGUID.Rows(0).Item(0).ToString)
strSql.Append("INSERT INTO tableName ")
strSql.Append("(GUID, ParentObsSetGUID, ChildObsSetGUID, ChildObsItemGUID) ")
strSql.Append(String.Format("VALUES (CONVERT(uniqueidentifier, '{0}'), CONVERT(uniqueidentifier, '{1}'),
CONVERT(uniqueidentifier, '{2}'), NULL)", parmList.ToArray))
.. ( ) SQL Injection, . , , uniqueidentifier.