The 404 or Not Found error message is a HTTP standard response code indicating that the client was able to communicate with the server, but the server could not find what was requested.
Customizing error page 404 may be very important and useful, rather than letting visitor get default error page that say " 404 Page not found". Very likely the visitor will close and leave the pages of your website.
So why not give visitors something a little fun and interesting, with have a good navigation options or even redirecting them back to main page nor provide other important page and also search form for visitors to find content they want. Design your 404 error page should be in similar with the structure of your website so that visitors do not feel they have been expelled from the website, let they stay on your website.
In this examples design of "404 Error page" you can get inspiration and big smile. Take a look!
And here some resources customize your wordpress 404 page;