It's a classic and it's probably the first thing that would pop into most people's minds if they found themselves having to deal with a dead body.
When it comes to burying a body, deeper is always better (oi oi). A shallow grave leaves you more vulnerable to soil erosion and scavengers (not to mention sniffer dogs). A grave should be at least six feet deep (hence the phrase six feet under) if not deeper.
Although if you hit water at any point on the way down, find another spot. Burying a decomposing body in the water table is going to poison the local water supply and lead people to look for the source.
That said, digging a dirty great hole in the ground is not half as easy as the movies make it look, particularly in the dark, in a woods whilst in a state of panic. In an ideal world, you would dig your hole in advance so that you don't have to chill with a dead body for too long (although maybe in an ideal world, you wouldn't be burying a cadaver).
Oh, and be sure to cover the freshly turned earth back over with leaves, turf or whatever was on the ground before you dug it.