You can create your own error document so that when a page cannot be found, you can present something more sightly than the default error page your webserver presents.
In addition to making it look better, you may also want to present some navigation options to help people find what they need on the site.
My script does these things and a couple more. It looks for meaningful keywords in both the requested URL and the refering URL and presents search results based on those keywords.
As a side effect, you can use URLs to search my site. For example, use:
http://ncyoung.com/XML-RPC to search for the terms "XML" and "RPC" on my site.
The script also keeps a log of the requested URL and refering page. Each time a new broken link is found, I get an email about it so that I can either fix it, notify the site it is coming from, or ignore it (my choice, ha ha!). Subsequent visits to that bad URL don't trigger email.