Information from Find a Grave. He has two entries,
here, and
here. I had heard Martha's Vinyard, but that the grave had been relocated because of Belushi fans who showed up to drink and drug. I think the Illinois one is a memorial cenotaph, and the actual grave is in Martha's Vinyard.
The grave I found (no findagrave.com in the 84 or 85 when I went in search of), was unmarked, so I have no idea if it was his or not, but the info a few of you have linked seems like the place I found.