I've found Invincible's grave. Never knew it existed.

Why did blizzard never show this in Warcraft 3? Now I'm curious.

From wowpedia:
The open grave was introduced in Patch 3.0.2, Echoes of Doom, but went unnoticed until just before the Zombie Infestation phase of the Scourge Invasion, which heralded the release of World of Warcraft: Wrath of the Lich King. However, Arthas: Rise of the Lich King indicates that the grave had already been open for several years.

Also an interesting lore tidbit I just learned from that wowpedia page:

Invincible's death was one of the events that inspired Arthas to become a paladin. After the fall of Lordaeron years later, Arthas - now a death knight - ran directly from Lordaeron after murdering his father, to the Balnir Farmstead where Invicible was buried. With the power of Frostmourne, Arthas resurrected the horse as his undead steed.

So Invincible died before Arthas became the Lich King. To imagine him digging up his old horse after becoming the Lich King means that at some point after the transformation he thought to himself, "I can bring Invincible back!" That's a little heartbreaking shred of humanity.