One of the things you can do with Drupal is customize the "Error 403 Access Denied" and "Error 404 Page Not Found" pages. Drupal gives an option under Admin->Site Configuration->Error Reporting to redirect both of those to a custom URL.

My first try at updating the very spartan default error page was to create a node. I thought this would be be the easiest way because of course, that is what Drupal is good at doing. It would also maintain the theme of the site, and I could drop on blocks or whatever I wanted to in it easily. I drafted up a nifty "Page Not Found" node, aliased it to 404 and set it up to catch the redirect. One minor thing that I had to do was create a new content type. All my content requires categorization, and I didn't want those error pages showing up in category lists (taxonomy). So I created a new type that did not require a tag.