I recently wrote about how it can help your site to have a custom 404 page.
Here's a fun test to see which of two 404 pages works better. It's always nice to see the results of testing, but of course, YMMV (Your Mileage May Vary). No matter what works for other people, you should always test to see what works best for your site.
I enjoy the weekly tests at WhichTestWon.com, so I signed up to get notified when they post a new one. You might also find one of their free PDF reports about testing to be of interest.