I Samuel 31:11-12
The inhabitants of Jabesh-gilead heard about him - about what the Philistines had done to Saul - and all the daring men arose and went throughout the night, and took the remains of Saul and the remains of his sons from the wall of Beth-shan, and came back to Jabesh. They burned them there.
31:12. According to most commentators, they burned Saul's belongings, in accord with the dictum that no one may use a king's possessions. Radak suggests that the bodies had become decomposed and infested, so the people burned the flesh, leaving the bones for burial.
[All quotations from the Stone Edition Tanach from ArtScroll-Mesorah.]
It appears that the common opinion is that they burned Saul's belongings, and that's what is meant by "and they burned them there."
See Avodah Zarah 11a for more concerning the custom of burning a king's possessions, although the above passukim are not referenced. (Thanks to DonielF for finding that for us.)