A List Apart featured a piece called "The Perfect 404." I'm a big fan of custom 404 pages, the just make sense while presenting the user with the message that you care about their site experience.

Welcome to the world of the Error 404 page. You've requested a page -- either by typing a URL directly into the address bar or clicking on an out-of-date link and you've found yourself in the middle of cyberspace nowhere. http://www.alistapart.com/articles/perfect404/