Creating an Error 404 Page « WordPress Codex

Creating an Error 404 Page « WordPress Codex: "Creating an Error 404 Page

While you work hard to make sure that every link actually goes to a specific web page on your site, there is always a chance that a link clicked will slam dunk and become a famous 404 ERROR PAGE NOT FOUND."

Having a nice 404 is critical to having a good looking, professional site.