Simply changing the page from the server's default error shows that you've made an effort. Here are some other things you can do to make it easy for people to get back on track.

In order from very basic to complex, with examples:

Allow people to go somewhere other than back.
Include links to important parts of the site, like the main page or site map. Don't just tell them to correct their spelling. Use textual links instead of just a graphic. It won't occur to some people to click the graphic.

Example: Our site has a couple links back to main pages. This is the bare minimum. We like to think that we make up in personality what we lack in helpfulness.

Include a link to email the webmaster or a form to submit broken links.
People are more likely to use a form than send an email.

Example: Intemperance.net has a form, as well as links back to the main page.

Include a search box to search the site.

Example: Apple has a search box at the bottom of all their pages, as well as links to important sections.

List the links on the site that are similar to what was entered, in order to guess what they were looking for.

Take a look at this Alertbox article for some other good 404 tips. Check out the 404 error itself while you're there, too; it gives visitors a lot of helpful information.