According to Wikipedia, "Cnut died at Shaftesbury in Dorset and was buried in the Old Minster, Winchester. With the events of 1066 the new regime of Normandy was keen to signal its arrival with an ambitious programme of grandiose cathedrals and castles throughout the High Middle Ages. Winchester Cathedral was built on the old Anglo–Saxon site and the previous burials, including Cnut's, were set in mortuary chests there. During the English Civil War in the 17th century, plundering Roundhead soldiers scattered the bones of Cnut on the floor and they were spread amongst the various other chests, notably those of William Rufus. After the restoration of the monarchy, the bones were collected and replaced in their chests, although somewhat out of order."
On its Winchester Cathedral page, Wikipedia has a photograph of a notice in the cathedral which reads "These chests contain the bones of some early monarchs of Wessex and Bishops of Winchester ... " The notice proceeds to list eight historical figures, including Canute and William Rufus.
This BBC report has a photograph of the six chests that contain the bones in question. DNA analysis has been going on in recent years to analyse the bones in an attempt to identify them once and for all.
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