She has two well known churches named for her in Rome. The other, Sant'Agnese in Agone, is located in the Piazza Navona, and is more frequently visited than the other one. She was beheaded in Domitian's Stadium (which was the forerunner of the Piazza), and then taken outside of the city walls to a cemetery (where the photo above was taken). While the above sarcophagus contains her body, her skull is venerated in the Piazza Navona Basilica.
Fr. Zuhlsdorf has a great blog entry about all of this. Check it out by clicking HERE.