Use textual links instead of just a graphic. It won't occur to some people to click the graphic. 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.
Include a search box to search the site. List the links on the site that are similar to what was entered, in order to guess what they were looking for. You don't have to do all of these things, but they all serve to make it easier for people to stay on your site. Take a look at this Alertbox article for some other good 404 tips. As you may know, version 5 of Internet Explorer has its own 'friendly' error messages built in, so that you don't have to look at the ugly standard 404.