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I was recently asked if it were possible to assign photos to a collection during import. It would make a good feature request, but it is not currently possible.
Here are the alternatives I came up with that could be used once the import is complete.
You could select all (Ctrl/Cmd+A) the newly imported photos and then drag them to an existing collection or press Ctrl/Cmd+N to create a new collection and add the selected photos to that collection at the same time by checking the "include selected photos" box. Those options work in Lightroom 1 as well.
However, the new Target Collection feature in Lightroom 2 presented another alternative. Here's how to make it work. First, Right-click (Mac: Ctrl-click) an existing collection and choose Set as Target Collection. This means the Target Collection takes the place of the Quick Collection. Then once this is set you can select photos and just press B to add them to the Target Collection.
You can't make a Smart Collection the target collection, but others are fair game. This little feature can speed up the process of adding new photos to any collection you choose to target.
The current Target Collection is marked with a + sign after the collection's name.