Being a Salt Lake native, I think that it should be memorialized here in town some how. We already have some amazing things here, like the Joseph Smith Sphinx (or all of Gil Gal Gardens for that matter). And the pyramid temple/cryogenic center where you can have your pets saved for the future... A giant Ken Jennings head would not be out of place.
I think he should donate it to the Utah Museum of Fine Art, or some where Downtown in one of the art spaces.
Ken Jennings may be leaving us, but we'll gladly keep his head.