I've been doing some research on error page best practices and found a few excellent links for anyone looking to cut down on user abandonment due to 404 errors (or at least making them a little friendlier):
The 404 Research Lab is a site devoted to nothing but error pages, with a huge gallery of examples good, bad, cute, and crude. Pick up some useful hints, find out who invented the 404 error page, or read their loving tribute to error pages as peaceful oases.
On his SmackTheMouse blog, Jesper Tverskov does some brainstorming on what makes a good error page, offers a little technical background on IIS errors, and collects a great set of case studies.
Over on evolt.org, Madhu Menon offers a more concise guide to building useful custom error pages.
Which, down under More Resources, has the best example of irony I've seen in a long time...
ASPToday has a detailed article about setting up custom 404 error pages on Windows NT. If you're on NT, read this.