Not Found message. Even the link from my message board didn't work. It was two weeks after the redesign that I looked at my stats and was horrified to find that 404 File Not Found had been hit more than 13,000 times. A lot of people were getting lost. I used LinkAlarm to find more bad URLs.
Some webmasters add a link asking for bad URLs to be reported.
Some add a link to the Home page. Brad Waller of EPage goes a lot further. He has a really good error page. Brad believes you should remember that those potential visitors are looking for a particular page - so you ought to help them find it. Brad's error page includes a description of his site, links to popular destinations - and he has even added a banner from a banner exchange to soak up those hits.