Default server 404 error pages are usually fairly unhelpful to users, so creating a custom one can help a user be less frustrated at a broken link if there are options to get back to the homepage of the site, or a search bar to search for their goal.
As you may have seen, I created my own 404 page, and set it by editing the .htaccess file. Read more about that here. Recently, I stumbled upon the phenomenon of HTTP status cats – see them here. I then edited my 404 page to include one of these to keep my angry, lost users a bit happier.