In the new Standard for C++ (C++11), you can do this:
int* a = new int[10] { 1,2,3,4,5,6,7,8,9,10 };
It’s called an initializer list. But in previous versions of the standard that was not possible.
The relevant online reference with further details (and very hard to read) is here. I also tried it using GCC and the --std=c++0x option and confirmed that it works indeed.