If in IFR conditions, then we will continue flying to the clearance limit by the last route assigned by ATC. You should maintain the last assigned altitude, the altitude ATC has told you to expect in a further clearance, or the minimum IFR altitude.
In the case that ATC has you on a radar vector, then your route choice depends on what air traffic control stated in when they started vectoring you. Sometimes, air traffic control will specify a fix, point, or airway in the vector clearance. If they said, for example, "fly heading zero two zero, vectors for JIMMZ intersection", then proceed directly to JIMMZ when you are able and continue along your assigned route to the clearance limit.
Other times, ATC may assign a vector and tell you to expect certain routing. For example, "turn left heading 120, expect further clearance via V222, YARBO intersection, SEMMES, direct Mobile for active military airspace. Houston Center will have that clearance for you, and I'll have you on them in just a minute". In this case, you can simply fly this expected routing in the event of a communications failure.
Should some situation occur where you are vectored to no specified point and not told what to expect, you should fly the route you filed in your flight plan to the clearance limit.
Most of the time, the clearance limit is the destination airport. However, you may lose communications in a hold, for example. In such a situation, your clearance limit would be the hold fix. When the controller restated "cleared to", your clearance limit was updated. Whenever holding instructions are issued, the first words out of the controller mouth, after you call sign, will be "cleared to" followed by the holding fix. Leave the clearance limit at the expect further clearance time issued by air traffic control.
If no EFC was given, then leave the clearance limit on arrival. This would likely be the case if you were cleared to your destination airport. From the clearance limit, you would proceed to a fix from which an approach begins. Descend from altitude and conduct the instrument approach so as to arrive as close as possible to the estimated time of arrival, as calculated from the filed or amended estimated time of arrival.
Should your clearance limit itself be a fix from which your approach will begin, then you should descend from altitude and conduct the approach so as to leave the clearance limit at the expect further clearance time. In ATC gave no EFC time, then try to arrive as close as possible to your flight plan or amended estimated time of arrival.
If you should encounter a situation not covered by FAR 91.185, use your best judgment. The regulation doesn't necessarily cover every possible situation, just likely situations.