As sure as the sun will rise in the morning, your site users are going to end up hitting a 404 error page at some point or another. But what you provide them when they hit that pages can actually tell a lot about your site, and can help turn your what is technically a fail for the user into a win, if done properly.
By definition (remember when definition was pulled from encyclopedia rather than wikipedia? I guess I am dating myself somewhat here), a 404 page is:
"The 404 or Not Found error message is a HTTP standard response code indicating that the client was able to communicate with the server, but the server could not find what was requested. 404 errors should not be confused with "server not found" or similar errors, in which a connection to the destination server could not be made at all. A 404 error indicates that the requested resource may be available again in the future."