I prefixed the title of this entry with the words "must have". That is because every Web site must have a custom 404 error page. What is a standard, or non custom 404 error page? Well, every go to a URL and find this?
I am sure you have, these are the default apache 404 error pages. But you are in luck, you can create easy to use, custom 404 error pages. Apple's 404 page is often talked about when creating a custom 404 error page. For example, go to http://www.apple.com/seroundtable/, there is obviously no such page at Apple, but they give you the following page (I only captured a portion of the screen, see the link above for the full page).
Now isn't that much better? Of course, we all get lazy and we push off making these useful pages. For example, this site doesn't have a custom 404 page, I think I will add one today, if I get around to it. But my corporate site has a custom 404 page. The rustybrick custom 404 page includes the line of reassurance, "Can't find what your looking for?", a Google search box that limits the search to my site, and a site map - all included within the standard navigation.
Please don't forget, a custom 404 is both good for your users and the search engines (however, the search engines really would prefer a standard 404 page - I think).
This entry comes by way of a post at Cre8asite named Custom 404 Error Pages. The post has more resources on how to build a custom 404 pages and other sample 404 pages (good and bad).