You can not use select statement for individual values of insert statement.
You should first store them in a local variable and then use that variable in your statement.
So you need to have something like this :
declare @FeatureName varchar(max)
Select @FeatureName = FeatureName From VININFO_Features WHere FeatureID=@FeatureID
.
.
.
Insert Into VehicleFeatures(
VehicleID,
FeatureName,
FeatureGroup,
FeatureAbbr,
FeatureCat,
FeatureUnit,
FeatureValue,
VehicleValue,
FeatureID)
Values(
@VehicleID,
@FeatureName ,
.
.
.
)
Hope it helps.