How many of you have websites? Quite a few I bet. Now, how many have designed your own website? Not quite as many but a lot. Now, how many of you have actually designed a 404 error page? Not as many...what happened? Unfortunately as designers we spend a lot of time thinking about what the UI should be under normal circumstances. This is also why things like form validation and error messages are usually an afterthought.
The 404 error page is one of those things that you assume people on see when they make a mistake and enter an nonexistent page url. This is probably true in many cases, but it could also be because you made a change to a page on your site and inadvertently broke a link (that never happens does it?) Regardless of why people wind up on the error page they end up in the same situation since they were expecting the content they requested and didn't. So, why not take the opportunity to help the visitor find what they were actually looking for. Robert Hoekman, Jr. talks about this in his book Designing the Obvious (which is great by the way). Take a look on page 1154 and you will see a discussion about it.
For some ideas on how you can create a better error page, also check out http://patterntap.com/tap/collection/404-pages
And before anyone comments and asks if my sites http://www.mcgraphix.com and http://klok.mcgraphix.com have custom error pages, let me admit that they don't. Hey... I'n not perfect you know. But, I will be rectifying that immediately.