This was discussed elsewhere, but I can't find the thread just now. Rasputin was buried, and it wasn't much of a secret really, under a new church Anna Vyroubova was building behind the Feodorovsky Cathedral. It was never finished due to the Revolution. I've seen pictures from the time, it was really just a foundation and partial walls and some roof framing.
During the Revolution, Kerensky ordered the body dug up, and transported secretly to Petersburg. A crowd discovered who the body was on the truck when it broke down, and the soldiers took the body and burned it completely scattering the ashes and remains in the forest. We know only an approximate location where this happened.