No Jedi had figured out how to do the ghost thing yet. (Funeral pyres are apparently a Naboo custom.) Qui Gon was the first to come back, although that point was slightly lost by the scene where he communicates with Yoda being cut in ROTS.
Lucas has said Anakin’s body does vanish, and Luke burned the empty Vader suit. Take that with a pinch of salt though.
Speaking of Qui Gon’s funeral, why was it on Naboo? Was he from Naboo originally or did nobody love him on his homeworld so they just got rid of the body on Naboo?