Most WordPress themes typically come with a default 404 page whenever an invalid url is requested. Some themes show suggestions on other page in your WordPress website that are either receiving high traffic or old posts in your blog. When a visitor is greeted with a 404 error page, what they commonly do is click the back button in the browser and go over to other search results.
Customize your 404 page so that the page other than suggesting old posts, grab the reader’s attention by either showing a popular post you have or a way to grab their attention.
Read full story here: http://wphacks.com/wordpress-tip-customizing-404-page/