In brief a 404 page is what a system serves up if you go to a page that has been deleted or was never there, although this is more common after web redesigns or simply in development. Web servers by default will return something pretty unfriendly which simply says "page not found" and that's about it. IE will turn that into something slightly less ugly but still off-putting and if you have the Google Toolbar installed it will try to suggest other websites you might be interested in... Most of this will result in you losing a visitor so creating your own is pretty important!
As someone who is definently on the geekier side of the spectrum, I love comedy 404s. Magazine 13 has a good list of them here. However, they all share one minor flaw - they are usually pretty unhelpful and as such the average non-geek will probably be confused and wander off to the competitor.
My three top suggestions for a 404 page from a web marketing point of view are:
1. Make sure it returns a 404 code (this makes sure search engines understand how to index your site correctly
2. Make sure it has navigation and suggested pages - a search function is always useful if you have one
3. Make sure it is trackable (if you're using Google Analytics, include "page not found" in the title bar. You can find it in Analytics by using your Top Content >> Content By Title, and you can then filter it by the box at the bottom of the page)
Whilst you don't want people to come to your 404 page, invariably broken links happen. The more popular your site, the more likely it is that there are broken inbound links, as not everyone or every tool gets links right every time!
If your visitor comes to your 404 page, do you insult them? "You typed in a wrong URL!" to me sounds like you're blaming me for coming to your 404 page (which is unlikely) so don't tell me I am wrong...
Advanced
If you're already tracking your 404 pages, if you spot a popular one, can you 301 it to the right page? Can you contact people who are linking to your 404 pages and suggest a correct one?
So for those of you who think the date should be written wrong, happy 404 day. For those who understand the correct way to write the date in English is, well, the English way... you could say it is still 404 day anyhow, because its still 4/04/
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