From iBenic –Forty Four, a great WordPress 404 Plugin:
What is a 404? 404 is the response status that your website sends to the client (visitor?s browser) when the visitor gets on a page that does not exist. WordPress does that pretty well and a theme can customize that page as needed. But what about getting a very fast 404 page and also to manage all those 404 urls? Meet, Forty Four, a great plugin to manage your WordPress 404 pages.