The Victoria and Albert Museum has many depictions of Grimaldi, including one by Cruickshank and one by Cooper. Project Gutenberg has Charles Dicken’s Memoirs of Joseph Grimaldi.

Cruickshank’s illustration of Joseph’s flight into the orchestra pit can be found in the Memoirs (Chapter 1).

Wikipedia has an article with several pictures of Grimaldi, including him NOT in clown make-up.

The Londonist has an article about Holy Trinity Church, Dalston, Hackney, which includes photos of the church’s Grimaldi glass window, and the clown museum there, including a picture of some of its collection of clown eggs (you’ll have to read it).

Joseph was buried in a St James’s Chapel churchyard, Pentonville, London. The chapel no longer exists, but the burial ground has been made into a park, The Joseph Grimaldi Park. Here you can see his actual grave, and also ‘dance on his (not actual) grave’ – a coffin shaped object with musical tiles tuned so that you can recreate Grimaldi’s famous song: ‘Hot Coddlins.’

Andrew Whitehead’s blog has photos of the site, and a short video of the ‘grave’ playing notes.

YouTube has several versions of the song Hot Codlins, including this one by The Grimaldi Band, which has the lyrics on screen (a snippet is featured in the episode).