The "404 page," is the page that is displayed on a website when someone clicks on an invalid URL or a broken link. All it usually says (and really needs to say) is "oops," or that the page you're looking for is not found (that doesn't actually make sense, but that's what lot of them say).
If you're like CNET, you can be nice to your readers, and add a search screen, and of course add some Google ads (because EVERYONE loves to click on ads when they're already irritated about clicking on a broken link, right?).
You can also make your 404 page into something similar to a flash page, which gives your reader options for finding what they're looking for on your site, like we've done here at WebRev, and like uxbooth.com has done (see their tips for making your own, here).
You could go the funny route, too. Google Images has literally hundreds of great (well, some are great) examples, here. Here is one of my personal favorites, a post from ICHC, which is usually about cats, but this is priceless:
Jennifer Pointer (e-mail) is in Tulsa, OK. She promotes a simple, a low-tech approach to effective online profile management, search engine optimization and social networking.