node_field_collection_save.php

<?php

  // Lets just pretend your content type is "Event" with machine name "event"
 
  $node = new stdClass();
  $node->type = 'event';
  node_object_prepare($node);
  
  $node->title    = "My event title";
  $node->language = LANGUAGE_NONE;
  
  // Add your node data here. You can add fields like:
  $node->field_whatever['und'][0]['value'] = "bobs your uncle";
  
  // The exact structure of this is different depending on the field type
  // I suggest you create a node manually and then use devel to see its 
  // structure then reproduce it here.
  
  // Note your field collection stuff does NOT get saved at this point.

  // Save your node.
  if ($node = node_submit($node)) {
    node_save($node);
  } else {
    print '<h1>OMG IT BROKE!!!!</h1>';
  }
  
  // Just to be safe.
  $node = node_load($node->nid);

  // At this point you probably have an array of data as your field 
  // collection stuff. loop through it to create your collections
  foreach($array_of_data as $key => $value){
    $field_collection = array(
      'field_name' => 'field_name_of_your_field_collection_field',
    );
    
    // Add your fields here like:
    $field_collection['field_whatever']['und'][0]['value'] = $value['in your face'];
    // Again manually create a node and see the structure from devel.
    
    $entity = entity_create('field_collection_item', $field_collection);
    $entity->setHostEntity('node', $node);
    $entity->save();   
  }